statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

ArmaFft.acovf(nobs=None)

Theoretical autocovariance function of ARMA process

Parameters:
  • ar (array_like, 1d) – coefficient for autoregressive lag polynomial, including zero lag
  • ma (array_like, 1d) – coefficient for moving-average lag polynomial, including zero lag
  • nobs (int) – number of terms (lags plus zero lag) to include in returned acovf
  • sigma2 (float) – Variance of the innovation term.
Returns:

acovf – autocovariance of ARMA process given by ar, ma

Return type:

array

See also

arma_acf, acovf

References

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