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