statsmodels.tsa.arima_process.arma_acovf¶

statsmodels.tsa.arima_process.arma_acovf(ar, ma, nobs=10, sigma2=1, dtype=None)[source]¶

Theoretical autocovariances of stationary ARMA processes

Parameters:¶

ar : array_like, 1d¶: The coefficients for autoregressive lag polynomial, including zero lag.
ma : array_like, 1d¶: The coefficients for moving-average lag polynomial, including zero lag.
nobs : int¶: The number of terms (lags plus zero lag) to include in returned acovf.
sigma2 : float¶: Variance of the innovation term.

Returns:¶

The autocovariance of ARMA process given by ar, ma.

Return type:¶

ndarray