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Is there a way to restrict level/trend variance at certain value in unobserved components model in python?

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0

$begingroup$

I am building an unobserved component model using 'lltrend' method.

from statsmodels.tsa.statespace.structural import UnobservedComponents

ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())

Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?

statistics

share

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

add a comment | 

0

$begingroup$

I am building an unobserved component model using 'lltrend' method.

from statsmodels.tsa.statespace.structural import UnobservedComponents

ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())

Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?

statistics

share

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

add a comment | 

$begingroup$

I am building an unobserved component model using 'lltrend' method.

from statsmodels.tsa.statespace.structural import UnobservedComponents

ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())

Now, I want to restrict the level and trend variance at a certain range to make the series smoother and avoid overfitting. The method 'strend' does a similar job by setting the trend variance at zero. Is there a way I can specify and set the level/trend variance to a different value (other than zero)?

statistics

share

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

$endgroup$

from statsmodels.tsa.statespace.structural import UnobservedComponents

ucm_model = UnobservedComponents(endog,exog=exog,level='lltrend',mle_regression=True)
result = ucm_model.fit()
print(result.summary())

share

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

share

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11

New contributor

Subhajyoti Sen is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.

asked 6 mins ago

Subhajyoti SenSubhajyoti Sen

11