statsmodels.sandbox.tsa.fftarma.ArmaFft.from_coeffs¶
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classmethod
ArmaFft.
from_coeffs
(arcoefs=None, macoefs=None, nobs=100)¶ Convenience function to create ArmaProcess from ARMA representation
Parameters: - arcoefs (array-like, optional) – 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, optional) – Coefficient for moving-average lag polynomial, excluding zero lag
- nobs (int, optional) – Length of simulated time series. Used, for example, if a sample is generated.
Examples
>>> arparams = [.75, -.25] >>> maparams = [.65, .35] >>> arma_process = sm.tsa.ArmaProcess.from_coeffs(ar, ma) >>> arma_process.isstationary True >>> arma_process.isinvertible True