statsmodels.tsa.arima_process.arma_acovf

statsmodels.tsa.arima_process.arma_acovf(ar, ma, nobs=10, sigma2=1, dtype=None)[source]

Theoretical autocovariances of stationary ARMA processes

Parameters:
ararray_like, 1d

The coefficients for autoregressive lag polynomial, including zero lag.

maarray_like, 1d

The coefficients for moving-average lag polynomial, including zero lag.

nobsint

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

sigma2float

Variance of the innovation term.

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


Last update: May 25, 2024