statsmodels.tsa.arima_process.ArmaProcess.acovf

ArmaProcess.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.