statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

ArmaFft.acovf(nobs=None)

Theoretical autocovariances of stationary ARMA processes

Parameters

nobsint

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

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

*

Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.