statsmodels.tsa.arima_process.ar2arma

statsmodels.tsa.arima_process.ar2arma(ar_des, p, q, n=20, mse='ar', start=None)

Find arma approximation to ar process

This finds the ARMA(p,q) coefficients that minimize the integrated squared difference between the impulse_response functions (MA representation) of the AR and the ARMA process. This does not check whether the MA lag polynomial of the ARMA process is invertible, neither does it check the roots of the AR lag polynomial.

Parameters

ar_desarray_like

coefficients of original AR lag polynomial, including lag zero

pint

length of desired AR lag polynomials

qint

length of desired MA lag polynomials

nint

number of terms of the impulse_response function to include in the objective function for the approximation

msestring, ‘ar’

not used yet,

Returns

ar_app, ma_apparrays

coefficients of the AR and MA lag polynomials of the approximation

restuple

result of optimize.leastsq

Notes

Extension is possible if we want to match autocovariance instead of impulse response function.