statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

method

ArmaFft.acovf(nobs=None)

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.