均值回归中的半衰期计算方式

import statsmodels.api as sm
def get_halflife(s):
    s_lag = s.shift(1)
    s_lag.iloc[0] = s_lag.iloc[1]
    s_ret = s - s_lag
    s_ret.iloc[0] = s_ret.iloc[1]
    s_lag2 = sm.add_constant(s_lag)
    model = sm.OLS(s_ret,s_lag2)
    res = model.fit()
    # print(res.summary())
    halflife = round(-np.log(2) / list(res.params)[1],0)
    return halflife