statsmodels.sandbox.tsa.fftarma.ArmaFft.from_roots¶
-
classmethod ArmaFft.from_roots(maroots=
None
, arroots=None
, nobs=100
)¶ Create ArmaProcess from AR and MA polynomial roots.
- Parameters:¶
- marootsarray_like,
optional
Roots for the MA polynomial 1 + theta_1*z + theta_2*z^2 + ….. + theta_n*z^n
- arrootsarray_like,
optional
Roots for the AR polynomial 1 - phi_1*z - phi_2*z^2 - ….. - phi_n*z^n
- nobs
int
,optional
Length of simulated time series. Used, for example, if a sample is generated.
- marootsarray_like,
- Returns:¶
ArmaProcess
Class instance initialized with arcoefs and macoefs.
Examples
>>> arroots = [.75, -.25] >>> maroots = [.65, .35] >>> arma_process = sm.tsa.ArmaProcess.from_roots(arroots, maroots) >>> arma_process.isstationary True >>> arma_process.isinvertible True
Last update:
Oct 03, 2024