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:

ndarray

Random sample(s) from an ARMA process.