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 unless distrvs 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.