均值回归半衰期计算

import statsmodels.api as sm
from math import log
import numpy as np


def get_halflife(z_array):
    z_lag = np.roll(z_array, 1)
    z_lag[0] = 0
    
    z_ret = z_array - z_lag
    z_ret[0] = 0

    s_lag2 = sm.add_constant(z_lag)

    model = sm.OLS(z_ret,s_lag2)
    res = model.fit()

    halflife = round(-np.log(2) / res.params[1],0)
    return halflife

z_array = [3, 4, 4, 5, 6, 7, 6, 6, 7, 8, 9, 12, 10]
get_halflife(z_array)