statsmodels.sandbox.tsa.fftarma.ArmaFft.generate_sample¶

ArmaFft.generate_sample(nsample=100, scale=1.0, distrvs=None, axis=0, burnin=0)¶

Simulate data from an ARMA.

Parameters

nsampleint or tuple of ints: If nsample is an integer, then this creates a 1d timeseries of length size. If nsample is a tuple, creates a len(nsample) dimensional time series where time is indexed along the input variable axis. All series are unless distrvs generates dependent data.
scalefloat: The standard deviation of noise.
distrvsfunction, random number generator: A function that generates the random numbers, and takes size as argument. The default is np.random.standard_normal.
axisint: See nsample for details.
burninint: Number of observation at the beginning of the sample to drop. Used to reduce dependence on initial values.

Returns