VharOls

model.VharOls(self, data, week=5, month=22, fit_intercept=True, method='nor')

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.