AR.select_order()
statsmodels.tsa.ar_model.AR.select_order
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AR.select_order(maxlag, ic, trend='c', method='mle')
[source] -
Select the lag order according to the information criterion.
Parameters: maxlag : int
The highest lag length tried. See
AR.fit
.ic : str {‘aic’,’bic’,’hqic’,’t-stat’}
Criterion used for selecting the optimal lag length. See
AR.fit
.trend : str {‘c’,’nc’}
Whether to include a constant or not. ‘c’ - include constant. ‘nc’ - no constant.
Returns: bestlag : int
Best lag according to IC.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.ar_model.AR.select_order.html