3.7.5.1.1. statsmodels.miscmodels.try_mlecov.arma_acovf

statsmodels.miscmodels.try_mlecov.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.