statsmodels.tsa.statespace.tools.diff

statsmodels.tsa.statespace.tools.diff(series, k_diff=1, k_seasonal_diff=None, seasonal_periods=1)

Difference a series simply and/or seasonally along the zero-th axis.

Given a series (denoted $y_t$), performs the differencing operation

$${\mathrm{\Delta }}^d{\mathrm{\Delta }}_s^D{y}_t$$

where $d=$ diff, $s=$ seasonal_periods, $D=$ seasonal_diff, and $\mathrm{\Delta }$ is the difference operator.

Parameters:

seriesarray_like

The series to be differenced.

diffint, optional

The number of simple differences to perform. Default is 1.

seasonal_diffint or None, optional

The number of seasonal differences to perform. Default is no seasonal differencing.

seasonal_periodsint, optional

The seasonal lag. Default is 1. Unused if there is no seasonal differencing.

Returns:

differencedndarray

The differenced array.