statsmodels.sandbox.tsa.fftarma.ArmaFft.from_coeffs

ArmaFft.from_coeffs(arcoefs, macoefs, nobs=100)

Create ArmaProcess instance from coefficients of the lag-polynomials

Parameters:

arcoefs : array-like

Coefficient for autoregressive lag polynomial, not including zero lag. The sign is inverted to conform to the usual time series representation of an ARMA process in statistics. See the class docstring for more information.

macoefs : array-like

Coefficient for moving-average lag polynomial, including zero lag

nobs : int, optional

Length of simulated time series. Used, for example, if a sample is generated.