statsmodels.tsa.statespace.tools.diff

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

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 – The differenced array.

Return type:

array