statsmodels.tsa.statespace.tools.diff

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

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

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

\[\Delta^d \Delta_s^D y_t\]

where \(d =\) diff, \(s =\) seasonal_periods, \(D =\) seasonal_diff, and \(\Delta\) is the difference operator.

Parameters
  • series (array_like) – The series to be differenced.

  • diff (int, optional) – The number of simple differences to perform. Default is 1.

  • seasonal_diff (int or None, optional) – The number of seasonal differences to perform. Default is no seasonal differencing.

  • seasonal_periods (int, optional) – The seasonal lag. Default is 1. Unused if there is no seasonal differencing.

Returns

differenced – The differenced array.

Return type

array