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:

  • nsample (int 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.

  • scale (float) – The standard deviation of noise.

  • distrvs (function, random number generator) – A function that generates the random numbers, and takes size as argument. The default is np.random.standard_normal.

  • axis (int) – See nsample for details.

  • burnin (int) – Number of observation at the beginning of the sample to drop. Used to reduce dependence on initial values.

Returns:

Random sample(s) from an ARMA process.

Return type:

ndarray