statsmodels.tsa.arima_process.arma2ar

statsmodels.tsa.arima_process.arma2ar(ar, ma, lags=100)[source]

A finite-lag AR approximation of an ARMA process.

Parameters:
ararray_like

The auto regressive lag polynomial.

maarray_like

The moving average lag polynomial.

lagsint

The number of coefficients to calculate.

Returns:
ndarray

The coefficients of AR lag polynomial with nobs elements.

Notes

Equivalent to arma_impulse_response(ma, ar, leads=100)


Last update: Apr 18, 2024