/arfima

Python implementation of ARFIMA process with an aim to simulate series.

Primary LanguagePythonThe UnlicenseUnlicense

ARFIMA

Python implementation of ARFIMA process with an aim to simulate series.

Typical usage

import arfima

series = arfima.arfima([], 0.3, [], 2**16, warmup=2**16)

The code snippet above would generate time series of ARFIMA(0, 0.3, 0) process. To simulate process with AR or MA terms simply pass the coefficients as arguments:

series = arfima.arfima([0.3, 0.2], 0.15, [0.5], 2**16, warmup=2**16)

This would simulate time series of ARFIMA(2, 0.15, 1) process with given parameters.