VharOls
self, data, week=5, month=22, fit_intercept=True, method='nor') model.VharOls(
OLS for Vector heterogeneous autoregressive model
Fits VHAR model using OLS.
Parameters
Name | Type | Description | Default |
---|---|---|---|
data | array - like | Time series data of which columns indicate the variables | required |
week | int | VHAR weekly order, by default 5 | 5 |
month | int | VHAR monthly order, by default 22 | 22 |
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 | VHAR coefficient matrix. |
intercept_ | ndarray | VHAR model constant vector. |
cov_ | ndarray | VHAR covariance matrix. |
n_features_in_ | int | Number of variables. |