ARMAResult._stationarity_ar#

ARMAResult._stationarity_ar()[source]#

The multiplied polynomial \(\phi(L)\,\Phi(L^s)\).

Assessing the non-seasonal block alone would pass a specification whose seasonal root is explosive.

Return type:

NDArray[double]

Returns:

(p + sP,) coefficients of the expanded autoregressive polynomial, which stability reads.

Example

>>> rng = np.random.default_rng(0)
>>> y = rng.standard_normal(200)
>>> res = SARIMA(y, order=(1, 0, 0), seasonal_order=(1, 0, 0, 4)).fit()
>>> expanded = res._stationarity_ar()
>>> expanded.shape, bool(np.isclose(expanded[3], res.seasonal_ar_params[0]))
((5,), True)
>>> bool(np.isclose(expanded[4], -res.ar_params[0] * res.seasonal_ar_params[0]))
True