ARMA

Defined in fynance.models.econometric_models

ARMA(y, phi, theta, c, p, q)

AutoRegressive Moving Average model of order q and p s.t:

\[y_t = c + \phi_1 * y_{t-1} + ... + \phi_p * y_{t-p} + \theta_1 * u_{t-1} + ... + \theta_q * u_{t-q} + u_t\]

Parameters:

ynp.ndarray[np.float64, ndim=1]

Time series.

phinp.ndarray[np.float64, ndim=1]

Coefficients of AR model.

thetanp.ndarray[np.float64, ndim=1]

Coefficients of MA model.

cnp.float64

Constant of the model.

pint

Order of AR(p) model.

qint

Order of MA(q) model.

Returns:

unp.ndarray[np.float64, ndim=1]

Residual of the model.

See also

ARMA_GARCH, ARMAX_GARCH, MA.