statsmodels.sandbox.tsa.fftarma.ArmaFft.from_coeffs

method

classmethod ArmaFft.from_coeffs(arcoefs=None, macoefs=None, nobs=100)

Convenience function to create ArmaProcess from ARMA representation

Parameters

arcoefsarray-like, optional

Coefficient for autoregressive lag polynomial, not including zero lag. The sign is inverted to conform to the usual time series representation of an ARMA process in statistics. See the class docstring for more information.

macoefsarray-like, optional

Coefficient for moving-average lag polynomial, excluding zero lag

nobsint, optional

Length of simulated time series. Used, for example, if a sample is generated.

Examples

>>> arparams = [.75, -.25]
>>> maparams = [.65, .35]
>>> arma_process = sm.tsa.ArmaProcess.from_coeffs(ar, ma)
>>> arma_process.isstationary
True
>>> arma_process.isinvertible
True