ArmaFft.generate_sample(nsample=100, scale=1.0, distrvs=None, axis=0, burnin=0)

Simulate an ARMA

  • nsample (int or tuple of ints) – If nsample is an integer, then this creates a 1d timeseries of length size. If nsample is a tuple, creates a len(nsample) dimensional time series where time is indexed along the input variable axis. All series are unless distrvs generates dependent data.
  • scale (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
  • axis (int) – See nsample.

rvs – random sample(s) of arma process

Return type:



Should work for n-dimensional with time series along axis, but not tested yet. Processes are sampled independently.

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© 2006 Jonathan E. Taylor
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