statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

method

ArmaFft.acovf(nobs=None)

Theoretical autocovariance function of ARMA process

Parameters

ararray_like, 1d

coefficient for autoregressive lag polynomial, including zero lag

maarray_like, 1d

coefficient for moving-average lag polynomial, including zero lag

nobsint

number of terms (lags plus zero lag) to include in returned acovf

sigma2float

Variance of the innovation term.

Returns

acovfarray

autocovariance of ARMA process given by ar, ma

See also

arma_acf, acovf

References

*

Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.