arxette 0.1.1

arx model fit with ols and nll

arxette

autoregressive model with exogeneous variables

install

$ pip install arxette

how to use

import numpy as np
from arx import ARX

y = np.random.randn(20)
x = np.random.randn(20,5)
mod = ARX()
mod.fit(y,x) 

The fit method minimize the nll. Alternative one could use the OLS estimator with

mod.fit_ols(y,x)

Once the model is fit, one can inspect the fitted parameters

mod.params # nll 
mod.params_ols # ols

test

To run the tests, install pytest and run

pytest

which tests that the params fit by both methods are pretty close.