ESTAR.fit

ESTAR.fit()

Estimate the transition by concentrated least squares.

Return type:

STARResult

Returns:

The fitted STARResult.

Raises:

NumericalError – If the transition variable has zero variance.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> res = ESTAR(rng.standard_normal(300), order=2, delay=2).fit()
>>> res.transition, res.nobs, list(res.params)[:3]
('exponential', 298, ['lower.const', 'lower.ar.L1', 'lower.ar.L2'])