statsmodels.tsa.arima_process.arma_acovf¶
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statsmodels.tsa.arima_process.
arma_acovf
(ar, ma, nobs=10)[source]¶ theoretical autocovariance function of ARMA process
Parameters: ar : array_like, 1d
coefficient for autoregressive lag polynomial, including zero lag
ma : array_like, 1d
coefficient for moving-average lag polynomial, including zero lag
nobs : int
number of terms (lags plus zero lag) to include in returned acovf
Returns: acovf : array
autocovariance of ARMA process given by ar, ma
See also
arma_acf
,acovf
Notes
Tries to do some crude numerical speed improvements for cases with high persistance. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired.