statsmodels.tsa.arima_process.arma_acovf¶
-
statsmodels.tsa.arima_process.arma_acovf(ar, ma, nobs=10, sigma2=1, dtype=None)[source]¶ 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,acovfReferences
- *
Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.