statsmodels.tsa.arima_process.ar2arma¶
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statsmodels.tsa.arima_process.
ar2arma
(ar_des, p, q, n=20, mse='ar', start=None)[source]¶ Find arma approximation to ar process
This finds the ARMA(p,q) coefficients that minimize the integrated squared difference between the impulse_response functions (MA representation) of the AR and the ARMA process. This does not check whether the MA lag polynomial of the ARMA process is invertible, neither does it check the roots of the AR lag polynomial.
Parameters: ar_des : array_like
coefficients of original AR lag polynomial, including lag zero
p : int
length of desired AR lag polynomials
q : int
length of desired MA lag polynomials
n : int
number of terms of the impulse_response function to include in the objective function for the approximation
mse : string, ‘ar’
not used yet,
Returns: ar_app, ma_app : arrays
coefficients of the AR and MA lag polynomials of the approximation
res : tuple
result of optimize.leastsq
Notes
Extension is possible if we want to match autocovariance instead of impulse response function.