statsmodels.sandbox.tsa.fftarma.ArmaFft.from_roots

classmethod ArmaFft.from_roots(maroots=None, arroots=None, nobs=100)

Create ArmaProcess from AR and MA polynomial roots.

Parameters:

marootsarray_like

Roots for the MA polynomial 1 + theta_1*z + theta_2*z^2 + ….. + theta_n*z^n

arrootsarray_like

Roots for the AR polynomial 1 - phi_1*z - phi_2*z^2 - ….. - phi_n*z^n

nobsint, optional

Length of simulated time series. Used, for example, if a sample is generated.

Returns:

ArmaProcess

Class instance initialized with arcoefs and macoefs.

Examples

>>> arroots = [.75, -.25]
>>> maroots = [.65, .35]
>>> arma_process = sm.tsa.ArmaProcess.from_roots(arroots, maroots)
>>> arma_process.isstationary
True
>>> arma_process.isinvertible
True