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