class statsmodels.sandbox.tsa.fftarma.ArmaFft(ar, ma, n)
[source]
fft tools for arma processes
This class contains several methods that are providing the same or similar returns to try out and test different implementations.
TODO: check whether we don’t want to fix maxlags, and create new instance if maxlag changes. usage for different lengths of timeseries ? or fix frequency and length for fft
check default frequencies w, terminology norw n_or_w
some ffts are currently done without padding with zeros
returns for spectral density methods needs checking, is it always the power spectrum hw*hw.conj()
normalization of the power spectrum, spectral density: not checked yet, for example no variance of underlying process is used
acf ([lags]) | Theoretical autocorrelation function of an ARMA process |
acf2spdfreq (acovf[, nfreq, w]) | not really a method just for comparison, not efficient for large n or long acf |
acovf ([nobs]) | Theoretical autocovariance function of ARMA process |
arma2ar ([lags]) | |
arma2ma ([lags]) | |
fftar ([n]) | Fourier transform of AR polynomial, zero-padded at end to n |
fftarma ([n]) | Fourier transform of ARMA polynomial, zero-padded at end to n |
fftma (n) | Fourier transform of MA polynomial, zero-padded at end to n |
filter (x) | filter a timeseries with the ARMA filter |
filter2 (x[, pad]) | filter a time series using fftconvolve3 with ARMA filter |
from_coeffs ([arcoefs, macoefs, nobs]) | Convenience function to create ArmaProcess from ARMA representation |
from_estimation (model_results[, nobs]) | Convenience function to create an ArmaProcess from the results of an ARMA estimation |
generate_sample ([nsample, scale, distrvs, …]) | Simulate an ARMA |
impulse_response ([leads]) | Get the impulse response function (MA representation) for ARMA process |
invertroots ([retnew]) | Make MA polynomial invertible by inverting roots inside unit circle |
invpowerspd (n) | autocovariance from spectral density |
pacf ([lags]) | Partial autocorrelation function of an ARMA process |
pad (maxlag) | construct AR and MA polynomials that are zero-padded to a common length |
padarr (arr, maxlag[, atend]) | pad 1d array with zeros at end to have length maxlag function that is a method, no self used |
periodogram ([nobs]) | Periodogram for ARMA process given by lag-polynomials ar and ma |
plot4 ([fig, nobs, nacf, nfreq]) | |
spd (npos) | raw spectral density, returns Fourier transform |
spddirect (n) | power spectral density using padding to length n done by fft |
spdmapoly (w[, twosided]) | ma only, need division for ar, use LagPolynomial |
spdpoly (w[, nma]) | spectral density from MA polynomial representation for ARMA process |
spdroots (w) | spectral density for frequency using polynomial roots |
spdshift (n) | power spectral density using fftshift |
arroots | Roots of autoregressive lag-polynomial |
isinvertible | Arma process is invertible if MA roots are outside unit circle |
isstationary | Arma process is stationary if AR roots are outside unit circle |
maroots | Roots of moving average lag-polynomial |
© 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.html