statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

ArmaFft.acovf(nobs=None)

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 – autocovariance of ARMA process given by ar, ma

Return type:

array

See also

arma_acf, acovf

Notes

Tries to do some crude numerical speed improvements for cases with high persistence. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired.