statsmodels.tsa.arima_process.lpol_fiar

statsmodels.tsa.arima_process.lpol_fiar(d, n=20) [source]

AR representation of fractional integration

\[(1-L)^{d} for |d|<0.5 or |d|<1 (?)\]
Parameters:
  • d (float) – fractional power
  • n (int) – number of terms to calculate, including lag zero
Returns:
  • ar (array) – coefficients of lag polynomial
  • Notes
  • first coefficient is 1, negative signs except for first term,
  • ar(L)*x_t

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© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.arima_process.lpol_fiar.html