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scikits.statsmodels.tsa.arima_process.arma_generate_sample

scikits.statsmodels.tsa.arima_process.arma_generate_sample(ar, ma, nsample, sigma=1, distrvs=<built-in method randn of mtrand.RandomState object at 0x2566690>, burnin=0)[source]

generate an random sample of an 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

nsample : int

length of simulated time series

sigma : float

standard deviation of noise

distrvs : function, random number generator

function that generates the random numbers, and takes sample size as argument default: np.random.randn TODO: change to size argument

burnin : integer (default: 0)

to reduce the effect of initial conditions, burnin observations at the beginning of the sample are dropped

Returns :

acovf : array

autocovariance of ARMA process given by ar, ma

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