statsmodels.tsa.arima_process.arma_acovf

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

Theoretical autocovariance function of ARMA process.

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:

ndarray

The autocovariance of ARMA process given by ar, ma.

See also

arma_acf
Autocorrelation function for ARMA processes.
acovf
Sample autocovariance estimation.

References

[*]Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.