fix matrix product for arima var_coef (#848)

Nixtla · Jul 17, 2024 · 32f459e · 32f459e
1 parent 45ef179
commit 32f459e
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diff --git a/nbs/src/arima.ipynb b/nbs/src/arima.ipynb
@@ -1339,7 +1339,7 @@
     "            A = arima_gradtrans(coef, arma)\n",
     "            A = A[np.ix_(mask, mask)]\n",
     "            sol = np.matmul(res.hess_inv, A) / n_used\n",
-    "            var = np.dot(A, sol)\n",
+    "            var = A.T @ sol\n",
     "            coef = arima_undopars(coef, arma)\n",
     "        else:\n",
     "            var = None if no_optim else res.hess_inv / n_used\n",

diff --git a/statsforecast/arima.py b/statsforecast/arima.py
@@ -1004,7 +1004,7 @@ def arma_css_op(p, x):
             A = arima_gradtrans(coef, arma)
             A = A[np.ix_(mask, mask)]
             sol = np.matmul(res.hess_inv, A) / n_used
-            var = np.dot(A, sol)
+            var = A.T @ sol
             coef = arima_undopars(coef, arma)
         else:
             var = None if no_optim else res.hess_inv / n_used