statsmodels.sandbox.tsa.fftarma.ArmaFft.acovf

ArmaFft.acovf(nobs=None)

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 – autocovariance of ARMA process given by ar, ma
Return type:	array

See also

arma_acf, acovf

Notes

Tries to do some crude numerical speed improvements for cases with high persistence. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired.