statsmodels.tsa.arima_process.lpol_fiar

statsmodels.tsa.arima_process.lpol_fiar(d, n=20)[source]

AR representation of fractional integration

\[(1-L)^{d} for |d|<0.5 or |d|<1 (?)\]
Parameters:
dfloat

fractional power

nint

number of terms to calculate, including lag zero

Returns:
arndarray

coefficients of lag polynomial

Notes:
first coefficient is 1, negative signs except for first term,
ar(L)*x_t

Last update: May 25, 2024