statsmodels.tsa.arima_process.ArmaProcess.acovf

ArmaProcess.acovf(nobs=None)

Theoretical autocovariances of stationary ARMA processes

Parameters:

nobsint

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

dtypestr, optional

Numpy dtype to use for the output. If None (the default), the dtype is inferred from the common type of ar, ma, and sigma2.

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.