statsmodels.tsa.arima_process.arma_acovf

statsmodels.tsa.arima_process.arma_acovf(ar, ma, nobs=10, sigma2=1, dtype=None)[source]

Theoretical autocovariances of stationary ARMA processes

Parameters:

  • ar (array_like, 1d) – The coefficients for autoregressive lag polynomial, including zero lag.

  • ma (array_like, 1d) – The coefficients for moving-average lag polynomial, including zero lag.

  • nobs (int) – The number of terms (lags plus zero lag) to include in returned acovf.

  • sigma2 (float) – Variance of the innovation term.

Returns:

The autocovariance of ARMA process given by ar, ma.

Return type:

ndarray

See also

arma_acf

Autocorrelation function for ARMA processes.

acovf

Sample autocovariance estimation.

References