ArmaFft.impulse_response(leads=None)
Get the impulse response function (MA representation) for ARMA process
Parameters: |
|
---|---|
Returns: |
ir – impulse response function with nobs elements |
Return type: |
array, 1d |
This is the same as finding the MA representation of an ARMA(p,q). By reversing the role of ar and ma in the function arguments, the returned result is the AR representation of an ARMA(p,q), i.e
ma_representation = arma_impulse_response(ar, ma, leads=100) ar_representation = arma_impulse_response(ma, ar, leads=100)
Fully tested against matlab
AR(1)
>>> arma_impulse_response([1.0, -0.8], [1.], leads=10) array([ 1. , 0.8 , 0.64 , 0.512 , 0.4096 , 0.32768 , 0.262144 , 0.2097152 , 0.16777216, 0.13421773])
this is the same as
>>> 0.8**np.arange(10) array([ 1. , 0.8 , 0.64 , 0.512 , 0.4096 , 0.32768 , 0.262144 , 0.2097152 , 0.16777216, 0.13421773])
MA(2)
>>> arma_impulse_response([1.0], [1., 0.5, 0.2], leads=10) array([ 1. , 0.5, 0.2, 0. , 0. , 0. , 0. , 0. , 0. , 0. ])
ARMA(1,2)
>>> arma_impulse_response([1.0, -0.8], [1., 0.5, 0.2], leads=10) array([ 1. , 1.3 , 1.24 , 0.992 , 0.7936 , 0.63488 , 0.507904 , 0.4063232 , 0.32505856, 0.26004685])
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.sandbox.tsa.fftarma.ArmaFft.impulse_response.html