7.8.4.6. statsmodels.tsa.arima_process.arma_acovf¶

statsmodels.tsa.arima_process.arma_acovf(ar, ma, nobs=10)[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

See also

arma_acf, acovf

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.