statsmodels.sandbox.tsa.fftarma.ArmaFft.from_coeffs¶

classmethod ArmaFft.from_coeffs(arcoefs=None, macoefs=None, nobs=100)¶

Create ArmaProcess from an ARMA representation.

Parameters:¶

arcoefsarray_like

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.

macoefsarray_like

Coefficient for moving-average lag polynomial, excluding zero lag.

nobsint, optional

Length of simulated time series. Used, for example, if a sample is generated.

Returns:¶

ArmaProcess

Class instance initialized with arcoefs and macoefs.

Examples

>>> arparams = [.75, -.25]
>>> maparams = [.65, .35]
>>> arma_process = sm.tsa.ArmaProcess.from_coeffs(ar, ma)
>>> arma_process.isstationary
True
>>> arma_process.isinvertible
True