statsmodels.tsa.arima_process.arma_acovf

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

Theoretical autocovariances of stationary ARMA processes

Parameters

ararray_like, 1d

The coefficients for autoregressive lag polynomial, including zero lag.

maarray_like, 1d

The coefficients for moving-average lag polynomial, including zero lag.

nobsint

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

sigma2float

Variance of the innovation term.

Returns

ndarray

The autocovariance of ARMA process given by ar, ma.

See also

arma_acf

Autocorrelation function for ARMA processes.

acovf

Sample autocovariance estimation.

References

*

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