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statsmodels.sandbox.tsa.fftarma.ArmaFft.acf

ArmaFft.acf(nobs=None)

theoretical autocorrelation function 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

nobs : int

number of terms (lags plus zero lag) to include in returned acf

Returns:

acf : array

autocorrelation of ARMA process given by ar, ma

See also

arma_acovf, acf, acovf

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