statsmodels.tsa.arima_process.arma_acovf¶
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statsmodels.tsa.arima_process.
arma_acovf
(ar, ma, nobs=10, sigma2=1, dtype=None)[source]¶ Theoretical autocovariance function of ARMA process
Parameters: ar : array_like, 1d
coefficient for autoregressive lag polynomial, including zero lag
ma : array_like, 1d
coefficient for moving-average lag polynomial, including zero lag
nobs : int
number of terms (lags plus zero lag) to include in returned acovf
sigma2 : float
Variance of the innovation term.
Returns: acovf : array
autocovariance of ARMA process given by ar, ma
See also
arma_acf
,acovf
References
[*] Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.