I am trying to generate an ARIMA process with statsmodels. I tried already different combinations but nothing works. There is also nothing in the documentation that could solve my problem. The parameters of the ARIMA model should be AR coefficient [0.4], MA coefficient [-0.2] and no differencing. So, the order must be (1, 0, 1). Here is the code from my latest trial:
ar_params = np.r_[0.4]
ma_params = np.r_[-0.2]
order = (len(ar_params), 0, len(ma_params))
model = ARIMA([0], order=order)
simdata = model.simulate(nsimulations=2000, params=np.r_[ar_params, ma_params])
I couldn find anything even googling. Anyone knows how to simulate it correctly?