ArmaProcess.acovf()
statsmodels.tsa.arima_process.ArmaProcess.acovf
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ArmaProcess.acovf(nobs=None)
[source] -
theoretical autocovariance function of ARMA process
Parameters: ar : array_like, 1d
coefficient for autoregressive lag polynomial, including zero lag
ma : array_like, 1d
coefficient for moving-average lag polynomial, including zero lag
nobs : int
number of terms (lags plus zero lag) to include in returned acovf
Returns: acovf : array
autocovariance of ARMA process given by ar, ma
Notes
Tries to do some crude numerical speed improvements for cases with high persistance. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.arima_process.ArmaProcess.acovf.html