UnobservedComponents.fit#

UnobservedComponents.fit()[source]#

Maximize the exact likelihood and smooth every component.

Return type:

UnobservedComponentsResult

Returns:

The fitted decomposition.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> y = np.cumsum(0.2 * rng.standard_normal(200)) + rng.standard_normal(200)
>>> res = UnobservedComponents(y, seasonal=4).fit()
>>> res.seasonal_period, res.n_params, bool(res.sigma2_seasonal < res.sigma2_level)
(4, 3.0, True)