statsmodels.tsa.arima_process.ArmaProcess.acovf

ArmaProcess.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

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. However, this algorithm is slow if the process is highly persistent and only a few autocovariances are desired.