VarOls

model.VarOls(self, data, lag=1, fit_intercept=True, method='nor')

OLS for Vector autoregressive model

Fits VAR model using OLS.

Parameters

Name Type Description Default
data array - like Time series data of which columns indicate the variables required
lag int VAR lag, by default 1 1
fit_intercept bool Include constant term in the model, by default True True
method str Normal equation solving method - “nor”: projection matrix (default) - “chol”: LU decomposition - “qr”: QR decomposition) 'nor'

Attributes

Name Type Description
coef_ ndarray VAR coefficient matrix.
intercept_ ndarray VAR model constant vector.
cov_ ndarray VAR covariance matrix.
n_features_in_ int Number of variables.