autoregressive fit
Project description
arxette
autoregressive model with exogeneous variables
install
$ pip install arxette
how to use
import numpy as np
from arxette import ARX, GARCH
y = np.random.randn(20)
x = np.random.randn(20,5)
mod = ARX()
mod.fit(y,x)
The fit method minimize the nll. Alternative one could use the OLS estimator with
mod.fit_ols(y,x)
Once the model is fit, one can inspect the fitted parameters
mod.params # nll
mod.params_ols # ols
test
To run the tests, install pytest and run
pytest
which tests that the params fit by both methods are pretty close.
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