statsmodels.regression.linear_model.burg¶
- statsmodels.regression.linear_model.burg(endog, order=1, demean=True)[source]¶
Compute Burg’s AP(p) parameter estimator.
- Parameters:
- Returns:
- rho
ndarray
The AR(p) coefficients computed using Burg’s algorithm.
- sigma2
float
The estimate of the residual variance.
- rho
See also
yule_walker
Estimate AR parameters using the Yule-Walker method.
Notes
AR model estimated includes a constant that is estimated using the sample mean (see [1]). This value is not reported.
References
[1]Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.
Examples
>>> import statsmodels.api as sm >>> from statsmodels.datasets.sunspots import load >>> data = load() >>> rho, sigma2 = sm.regression.linear_model.burg(data.endog, order=4)
>>> rho array([ 1.30934186, -0.48086633, -0.20185982, 0.05501941]) >>> sigma2 271.2467306963966