scikits.statsmodels.sandbox.tsa.arma_acovf

scikits.statsmodels.sandbox.tsa.arma_acovf(ar, ma, nobs=10)

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

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.

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