Is there a way to restrict level/trend variance at certain value in unobserved components model in python?
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Is there a way to restrict level/trend variance at certain value in unobserved components model in python?
$begingroup$
I am building an unobserved component model using 'lltrend' method.
from statsmodels.tsa.statespace.structural import UnobservedComponents
ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())
Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?
statistics
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
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Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
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$endgroup$
add a comment |
$begingroup$
I am building an unobserved component model using 'lltrend' method.
from statsmodels.tsa.statespace.structural import UnobservedComponents
ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())
Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?
statistics
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
add a comment |
$begingroup$
I am building an unobserved component model using 'lltrend' method.
from statsmodels.tsa.statespace.structural import UnobservedComponents
ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())
Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?
statistics
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
$endgroup$
I am building an unobserved component model using 'lltrend' method.
from statsmodels.tsa.statespace.structural import UnobservedComponents
ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())
Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?
statistics
statistics
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
asked 4 mins ago
Subhajyoti SenSubhajyoti Sen
11
11
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
add a comment |
add a comment |
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