sportran.md.tools.armodel

Functions

CSS_Solve(y, P)	Solve Conditionate Sum-of-Squares.
ar_psd(AR_phi, AR_sigma2, NFREQS[, DT])	Compute psd of an AR(P) process.
ar_tau(AR_phi, AR_sigma2[, AR_phi_cov, DT, ...])	Compute tau of an AR(P) process.

Classes

AR_Model(*args, **kwargs)

An AR_Model defines an AutoRegressive process of order P.

sportran.md.tools.armodel.CSS_Solve(y, P)

Solve Conditionate Sum-of-Squares.

INPUT: ytime series

P : AR order

RETURNS: phiAR coefficients

sigma2 : variance of innovations V : asymptotic covariance matrix of parameters

sportran.md.tools.armodel.ar_psd(AR_phi, AR_sigma2, NFREQS, DT=1)

Compute psd of an AR(P) process. BE CAREFUL WITH NORMALIZATION IF DT!=1

sportran.md.tools.armodel.ar_tau(AR_phi, AR_sigma2, AR_phi_cov=None, DT=1, RUN_TIME=0)

Compute tau of an AR(P) process.