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scikits.statsmodels.tsa.arima_model.ARMA

class scikits.statsmodels.tsa.arima_model.ARMA(endog, exog=None)[source]

Autoregressive Moving Average ARMA(p,q) Model

Parameters :

endog : array-like

The endogenous variable.

exog : array-like, optional

An optional arry of exogenous variables. This should not include a constant or trend. You can specify this in the fit method.

Methods

fit(order[, start_params, trend, method, ...]) Fits ARMA(p,q) model using exact maximum likelihood via Kalman filter.
hessian(params) Compute the Hessian at params,
information(params) Fisher information matrix of model
initialize() Initialize (possibly re-initialize) a Model instance. For
loglike(params) Log-likelihood of model.
loglike_css(params) Conditional Sum of Squares likelihood function.
loglike_kalman(params) Compute exact loglikelihood for ARMA(p,q) model using the Kalman Filter.
predict(exog[, params]) After a model has been fit predict returns the fitted values.
score(params) Compute the score function at params.

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