fynance.models.econometric_models.ARMA¶
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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: - y : np.ndarray[np.float64, ndim=1]
Time series.
- phi : np.ndarray[np.float64, ndim=1]
Coefficients of AR model.
- theta : np.ndarray[np.float64, ndim=1]
Coefficients of MA model.
- c : np.float64
Constant of the model.
- p : int
Order of AR(p) model.
- q : int
Order of MA(q) model.
Returns: - u : np.ndarray[np.float64, ndim=1]
Residual of the model.
See also
ARMA_GARCH
,ARMAX_GARCH
,MA.