statsmodels.tsa.arima_process.arma_acovf¶
-
statsmodels.tsa.arima_process.
arma_acovf
(ar, ma, nobs=10, sigma2=1, dtype=None)[source]¶ Theoretical autocovariance function of ARMA process.
Parameters: ar : array_like, 1d
The coefficients for autoregressive lag polynomial, including zero lag.
ma : array_like, 1d
The coefficients for moving-average lag polynomial, including zero lag.
nobs : int
The number of terms (lags plus zero lag) to include in returned acovf.
sigma2 : float
Variance of the innovation term.
Returns: ndarray
The autocovariance of ARMA process given by ar, ma.
See also
arma_acf
- Autocorrelation function for ARMA processes.
acovf
- Sample autocovariance estimation.
References
[*] Brockwell, Peter J., and Richard A. Davis. 2009. Time Series: Theory and Methods. 2nd ed. 1991. New York, NY: Springer.