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import numpy as np
import statsmodels.api as sm
from statsmodels.tsa.arima_process import arma_generate_sample
np.random.seed(12345)
Generate some data from an ARMA process:
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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.
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arparams = np.r_[1, -arparams]
maparam = np.r_[1, maparams]
nobs = 250
y = arma_generate_sample(arparams, maparams, nobs)
Now, optionally, we can add some dates information. For this example, we'll use a pandas time series.
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import pandas
dates = sm.tsa.datetools.dates_from_range('1980m1', length=nobs)
y = pandas.TimeSeries(y, index=dates)
arma_mod = sm.tsa.ARMA(y, order=(2,2))
arma_res = arma_mod.fit(trend='nc', disp=-1)