arma2.py

"""
Autoregressive Moving Average (ARMA) Model
"""
import numpy as np
import statsmodels.api as sm

# Generate some data from an ARMA process
from statsmodels.tsa.arima_process import arma_generate_sample

np.random.seed(12345)
arparams = np.array([.75, -.25])
maparams = np.array([.65, .35])

# The conventions of the arma_generate function require that we specify a
# 1 for the zero-lag of the AR and MA parameters and that the AR parameters
# be negated.
ar = np.r_[1, -arparams]
ma = np.r_[1, maparams]
nobs = 250
y = arma_generate_sample(ar, ma, nobs)

# Now, optionally, we can add some dates information. For this example,
# we'll use a pandas time series.
import pandas as pd
dates = sm.tsa.datetools.dates_from_range('1980m1', length=nobs)
y = pd.Series(y, index=dates)
arma_mod = sm.tsa.ARMA(y, order=(2, 2))
arma_res = arma_mod.fit(trend='nc', disp=-1)