statsmodels.sandbox.tsa.fftarma.ArmaFft.generate_sample

ArmaFft.generate_sample(nsample=100, scale=1.0, distrvs=None, axis=0, burnin=0)

Simulate data from an ARMA.

Parameters

nsampleint or tuple of ints

If nsample is an integer, then this creates a 1d timeseries of length size. If nsample is a tuple, creates a len(nsample) dimensional time series where time is indexed along the input variable axis. All series are unless distrvs generates dependent data.

scalefloat

The standard deviation of noise.

distrvsfunction, random number generator

A function that generates the random numbers, and takes sample size as argument. The default is np.random.randn.

axisint

See nsample for details.

burninint

Number of observation at the beginning of the sample to drop. Used to reduce dependence on initial values.

Returns

ndarray

Random sample(s) from an ARMA process.