statsmodels.tsa.arima_process.lpol_fiar

statsmodels.tsa.arima_process.lpol_fiar(d, n=20)

AR representation of fractional integration

\[(1-L)^{d} for |d|<0.5 or |d|<1 (?)\]

Parameters:

• d (float) – fractional power

• n (int) – number of terms to calculate, including lag zero

Returns:

• ar (ndarray) – coefficients of lag polynomial

• Notes

• first coefficient is 1, negative signs except for first term,

• ar(L)*x_t