statsmodels.tsa.arima_process.ArmaProcess.from_coeffs

classmethod ArmaProcess.from_coeffs(arcoefs=None, macoefs=None, nobs=100) [source]

Convenience function to create ArmaProcess from ARMA representation

Parameters:

arcoefs (array-like, optional) – Coefficient for autoregressive lag polynomial, not including zero lag. The sign is inverted to conform to the usual time series representation of an ARMA process in statistics. See the class docstring for more information. macoefs (array-like, optional) – Coefficient for moving-average lag polynomial, excluding zero lag nobs (int, optional) – Length of simulated time series. Used, for example, if a sample is generated.

Examples

>>> arparams = [.75, -.25]
>>> maparams = [.65, .35]
>>> arma_process = sm.tsa.ArmaProcess.from_coeffs(ar, ma)
>>> arma_process.isstationary
True
>>> arma_process.isinvertible
True