tsa.statespace.tools.diff()

statsmodels.tsa.statespace.tools.diff

statsmodels.tsa.statespace.tools.diff(series, k_diff=1, k_seasonal_diff=None, seasonal_periods=1) [source]

Difference a series simply and/or seasonally along the zero-th axis.

Given a series (denoted $y_t$ ), performs the differencing operation

$\Delta^d \Delta_s^D y_t$

where $d =$ diff, $s =$ seasonal_periods, $D =$ seasonal_diff, and $\Delta$ is the difference operator.

Parameters:

Parameters:	series : array_like The series to be differenced. diff : int, optional The number of simple differences to perform. Default is 1. seasonal_diff : int or None, optional The number of seasonal differences to perform. Default is no seasonal differencing. seasonal_periods : int, optional The seasonal lag. Default is 1. Unused if there is no seasonal differencing.
Returns:	differenced : array The differenced array.

series : array_like

The series to be differenced.

diff : int, optional

The number of simple differences to perform. Default is 1.

seasonal_diff : int or None, optional

The number of seasonal differences to perform. Default is no seasonal differencing.

seasonal_periods : int, optional

The seasonal lag. Default is 1. Unused if there is no seasonal differencing.

Returns:

differenced : array

The differenced array.

© 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.statespace.tools.diff.html