statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.transform_params

DynamicFactor.transform_params(unconstrained)

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation

Parameters:

unconstrained : array_like

Array of unconstrained parameters used by the optimizer, to be transformed.

Returns:

constrained : array_like

Array of constrained parameters which may be used in likelihood evalation.

Notes

Constrains the factor transition to be stationary and variances to be positive.