statsmodels.sandbox.tsa.fftarma.ArmaFft.generate_sample¶
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ArmaFft.generate_sample(nsample=100, scale=1.0, distrvs=None, axis=0, burnin=0)¶ Simulate an ARMA
Parameters: - nsample (int or tuple of ints) – If nsample is an integer, then this creates a 1d timeseries of
length size. If nsample is a tuple, creates a len(nsample)
dimensional time series where time is indexed along the input
variable
axis. All series are unlessdistrvsgenerates dependent data. - scale (float) – standard deviation of noise
- distrvs (function, random number generator) – function that generates the random numbers, and takes sample size as argument default: np.random.randn TODO: change to size argument
- burnin (integer (default: 0)) – to reduce the effect of initial conditions, burnin observations at the beginning of the sample are dropped
- axis (int) – See nsample.
Returns: rvs – random sample(s) of arma process
Return type: ndarray
Notes
Should work for n-dimensional with time series along axis, but not tested yet. Processes are sampled independently.
- nsample (int or tuple of ints) – If nsample is an integer, then this creates a 1d timeseries of
length size. If nsample is a tuple, creates a len(nsample)
dimensional time series where time is indexed along the input
variable