ar_factorization
Factor the estimated AR operators of a fitted model and identify candidate seasonal AR factors.
Instructions
Factorize the estimated AR operator(s) of a fitted model and identify candidate seasonal AR_f factors.
Each regular AR factor P(B) = 1 - c1 B - ... - cp B^p is factored (via
numpy.roots) and characterized in the original Root format: the roots
table and the real factors (1 - a[1] B) and complex factors
(1 - a[1] B - a[2] B^2), each complex factor given its damping factor d, its
frequency freq (cycles/obs) and its period per (obs/cycle). For a
directly-estimated AR(2) factor (both coefficients free), d and per carry
delta-method standard errors (d ± SE, per ± SE) from the factor's 2x2
coefficient covariance — matching ABTreadway-Dperar2.xls / caracterizar_operadores.py.
INTERPRETATION IS LEFT TO THE ASSISTANT: a complex factor whose period matches a seasonal cycle (per = s/k for an integer harmonic k) and whose damping d is near 1 is a candidate seasonal AR_f operator -- a stochastic-seasonal factor hidden inside an un-factored AR(p) -- to feed the MEG (DCD_f) and the dual Shin-Fuller AR_f test (paper SF_MEG, confirmatory pair). Because fue can estimate the AR operator factored or un-factored, factoring a freely estimated AR(p) exposes such factors.
Parameters
inp_path : path to .inp or .pre file (fitted model) sper : seasonal period; 0 (default) uses the series frequency
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| sper | No | ||
| inp_path | Yes |