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.
- nobs
int
The number of terms (lags plus zero lag) to include in returned acovf.
- sigma2
float
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:
Oct 12, 2024