statsmodels.sandbox.tsa.fftarma.ArmaFft.generate_sample¶
method
-
ArmaFft.
generate_sample
(nsample=100, scale=1.0, distrvs=None, axis=0, burnin=0)¶ Simulate 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 unlessdistrvs
generates dependent data.scale : float
standard deviation of noise
distrvs : function, random number generator
function that generates the random numbers, and takes sample size as argument default: np.random.randn TODO: change to size argument
burnin : integer (default: 0)
to reduce the effect of initial conditions, burnin observations at the beginning of the sample are dropped
axis : int
See nsample.
Returns: rvs : ndarray
random sample(s) of arma process
Notes
Should work for n-dimensional with time series along axis, but not tested yet. Processes are sampled independently.