statsmodels.tsa.arima_process.ArmaProcess.from_roots

classmethod ArmaProcess.from_roots(maroots=None, arroots=None, nobs=100)[source]

Create ArmaProcess from AR and MA polynomial roots.

Parameters:
marootsarray_like, optional

Roots for the MA polynomial 1 + theta_1*z + theta_2*z^2 + ….. + theta_n*z^n

arrootsarray_like, optional

Roots for the AR polynomial 1 - phi_1*z - phi_2*z^2 - ….. - phi_n*z^n

nobsint, optional

Length of simulated time series. Used, for example, if a sample is generated.

Returns:
ArmaProcess

Class instance initialized with arcoefs and macoefs.

Examples

>>> arroots = [.75, -.25]
>>> maroots = [.65, .35]
>>> arma_process = sm.tsa.ArmaProcess.from_roots(arroots, maroots)
>>> arma_process.isstationary
True
>>> arma_process.isinvertible
True

Last update: Sep 01, 2023