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
- ararray_like, 1d
The coefficients for autoregressive lag polynomial, including zero lag.
- maarray_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.