statsmodels.regression.linear_model.burg

statsmodels.regression.linear_model.burg(endog, order=1, demean=True)[source]

Burg’s AP(p) parameter estimator

Parameters:

endog : array-like

The endogenous variable

order : int, optional

Order of the AR. Default is 1.

demean : bool, optional

Flag indicating to subtract the mean from endog before estimation

Returns:

rho : ndarray

AR(p) coefficients computed using Burg’s algorithm

sigma2 : float

Estimate of the residual variance

Notes

AR model estimated includes a constant estimated using the sample mean. This value is not reported.

References

[R17]Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.