6.6.1.2.3. statsmodels.sandbox.panel.correlation_structures.corr_arma¶

statsmodels.sandbox.panel.correlation_structures.corr_arma(k_vars, ar, ma)[source]¶

create arma correlation matrix

converts arma to autoregressive lag-polynomial with k_var lags

ar and arma might need to be switched for generating residual process

Parameters:

ar : array_like, 1d

AR lag-polynomial including 1 for lag 0

ma : array_like, 1d

MA lag-polynomial