statsmodels.tsa.statespace.tools.diff¶

statsmodels.tsa.statespace.tools.diff(series, k_diff=1, k_seasonal_diff=None, seasonal_periods=1)[source]¶

Difference a series simply and/or seasonally along the zero-th axis.

Given a series (denoted $y_t$ ), performs the differencing operation

$\Delta^d \Delta_s^D y_t$

where $d =$ diff, $s =$ seasonal_periods, $D =$ seasonal_diff, and $\Delta$ is the difference operator.

Parameters:

series : array_like

The series to be differenced.

diff : int, optional

The number of simple differences to perform. Default is 1.

seasonal_diff : int or None, optional

The number of seasonal differences to perform. Default is no seasonal differencing.

seasonal_periods : int, optional

The seasonal lag. Default is 1. Unused if there is no seasonal differencing.

Returns:

differenced : array

The differenced array.