o 0Gf ;@sJdZddlZddlZddlmZddlmZddl m Z GdddZ dS)z? SARIMAX parameters class. Author: Chad Fulton License: BSD-3 N) Polynomial) is_invertible)validate_basicc@seZdZdZddZeddZejddZeddZejd dZed d Z e jd d Z ed dZ e jddZ eddZ e jddZ eddZ e jddZ eddZ e jddZ eddZejddZeddZejddZedd Zejd!d Zed"d#Zed$d%Zed&d'Zejd(d'Zed)d*Zed+d,Zed-d.Zed/d0Zd1d2Zd3d4Zd5d6Zd7S)8 SARIMAXParamsac SARIMAX parameters. Parameters ---------- spec : SARIMAXSpecification Specification of the SARIMAX model. Attributes ---------- spec : SARIMAXSpecification Specification of the SARIMAX model. exog_names : list of str Names associated with exogenous parameters. ar_names : list of str Names associated with (non-seasonal) autoregressive parameters. ma_names : list of str Names associated with (non-seasonal) moving average parameters. seasonal_ar_names : list of str Names associated with seasonal autoregressive parameters. seasonal_ma_names : list of str Names associated with seasonal moving average parameters. param_names :list of str Names of all model parameters. k_exog_params : int Number of parameters associated with exogenous variables. k_ar_params : int Number of parameters associated with (non-seasonal) autoregressive lags. k_ma_params : int Number of parameters associated with (non-seasonal) moving average lags. k_seasonal_ar_params : int Number of parameters associated with seasonal autoregressive lags. k_seasonal_ma_params : int Number of parameters associated with seasonal moving average lags. k_params : int Total number of model parameters. cCs||_|j|_|j|_|j|_|j|_|j|_|j|_|j|_|j|_|j |_ |j |_ |j |_ |j |_ |j t|j tjdd|_d|_dS)NT)Z allow_infnan)specZ exog_namesZar_namesZma_namesZseasonal_ar_namesZseasonal_ma_names param_names k_exog_params k_ar_params k_ma_paramsk_seasonal_ar_paramsk_seasonal_ma_paramsZk_params split_paramsnpzerosnan _params_split_params)selfrr)rr?rrArmax_seasonal_ma_orderseasonal_ma_lagsrCrrDrErFrGrrHrrrseasonal_ma_polys zSARIMAXParams.seasonal_ma_polycCs|jj}t|tr |j}t|d||jjdd}|ddkr#tdg}td|jjdD]}||jj vr@| |||q.|||dkrLtdq.||_ dS)Nr%zseasonal MA polynomialrrrKr7) rr?r-rr)rrNr.r/rOr0rL)rr!rIrLr1rrrrPs     cCr)z(float) Innovation variance.sigma2rrrrrrQrzSARIMAXParams.sigma2cCs0t|jj }t||dd|jd<d|_dS)NrQr)rCrconcentrate_scaleritemrr)rparamslengthrrrrQs cC |j|jS)z8(Polynomial) Reduced form autoregressive lag polynomial.)r+rJrrrrreduced_ar_poly zSARIMAXParams.reduced_ar_polycCrV)z8(Polynomial) Reduced form moving average lag polynomial.)r6rPrrrrreduced_ma_polyrXzSARIMAXParams.reduced_ma_polycCs*|jdur|jjdi|j|_|jS)z"(array) Complete parameter vector.Nr)rrZ join_paramsrcopyrrrrrT$s  zSARIMAXParams.paramscCs|j||_d|_dS)N)rr rrr rrrrT+s cCstt|j S)zA(bool) Are current parameter values all filled in (i.e. not NaN).)ranyZisnanrTrrrr is_complete0szSARIMAXParams.is_completecCs2d}z |j|jW|Styd}Y|Sw)z>(bool) Are current parameter values valid (e.g. variance > 0).TF)rZvalidate_paramsrTr.)rZvalidrrris_valid5s zSARIMAXParams.is_validcC`t|j|jddt|j|jddd}d}|jdkr!t|jj}|jdkr,t|jj}|o/|S)z?(bool) Is the reduced autoregressive lag poylnomial stationary.r$rr9Tr) rr#r r8r rr+r)rJ)rZ ar_stationaryZseasonal_ar_stationaryrrr is_stationary?s      zSARIMAXParams.is_stationarycCr^)z?(bool) Is the reduced moving average lag poylnomial invertible.r3rrMTr) rr2r rLr rr6r)rP)rZ ma_stationaryZseasonal_ma_stationaryrrrrPs      zSARIMAXParams.is_invertiblecCs |jS)a Return the parameters split by type into a dictionary. Returns ------- split_params : dict Dictionary with keys 'exog_params', 'ar_params', 'ma_params', 'seasonal_ar_params', 'seasonal_ma_params', and (unless `concentrate_scale=True`) 'sigma2'. Values are the parameters associated with the key, based on the `params` argument. )rrZrrrrto_dictbs zSARIMAXParams.to_dictcCstj|j|jdS)z Return the parameters as a Pandas series. Returns ------- series : pd.Series Pandas series with index set to the parameter names. )index)pdZSeriesrTrrrrr to_pandasps zSARIMAXParams.to_pandascCsg}|jr|dt|j|jr|dt|j|jr)|dt|j|jr6|dt|j |j rC|dt|j |j j sO|d|jdd|S) z+Represent SARIMAXParams object as a string.zexog=%szar=%szma=%szseasonal_ar=%szseasonal_ma=%sz sigma2=%szSARIMAXParams(%s)z, )rr0strrr r#r r2r r8r rLrrRrQjoin)rZ componentsrrr__repr__{s$zSARIMAXParams.__repr__N)__name__ __module__ __qualname____doc__rpropertyrsetterr#r+r2r6r8rJrLrPrQrWrYrTr\r]r_rr`rcrfrrrrrs|(                             r) rjZnumpyrZpandasrbZnumpy.polynomialrZ statsmodels.tsa.statespace.toolsrZstatsmodels.tsa.arima.toolsrrrrrrs