statsmodels.sandbox.tsa.fftarma.ArmaFft.arma2ar

ArmaFft.arma2ar(lags=None)

A finite-lag AR approximation of an ARMA process

Parameters:

lagsint, optional

The number of coefficients to calculate. If not given, the nobs attribute of the process is used.

Changed in version 0.15.1: Omitting lags no longer raises an AttributeError.

Returns:

ndarray

The coefficients of AR lag polynomial with lags elements.

Notes

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