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fix matrix product for arima var_coef (#848)
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nbs/src/arima.ipynb

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1339,7 +1339,7 @@
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" A = arima_gradtrans(coef, arma)\n",
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" A = A[np.ix_(mask, mask)]\n",
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" sol = np.matmul(res.hess_inv, A) / n_used\n",
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" var = np.dot(A, sol)\n",
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" var = A.T @ sol\n",
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" coef = arima_undopars(coef, arma)\n",
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" else:\n",
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" var = None if no_optim else res.hess_inv / n_used\n",

statsforecast/arima.py

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1004,7 +1004,7 @@ def arma_css_op(p, x):
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A = arima_gradtrans(coef, arma)
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A = A[np.ix_(mask, mask)]
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sol = np.matmul(res.hess_inv, A) / n_used
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var = np.dot(A, sol)
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var = A.T @ sol
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coef = arima_undopars(coef, arma)
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else:
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var = None if no_optim else res.hess_inv / n_used

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