statsmodels.tsa.arima_process.lpol_fiar¶

statsmodels.tsa.arima_process.lpol_fiar(d, n=20)[source]¶

AR representation of fractional integration

$(1-L)^{d} for |d|<0.5 or |d|<1 (?)$

Parameters:

d : float

fractional power

n : int

number of terms to calculate, including lag zero

Returns:

ar : array

coefficients of lag polynomial

Notes:

first coefficient is 1, negative signs except for first term,

ar(L)*x_t