Djangu-algo / arfima

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

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.