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statsmodels.tsa.statespace.tools.diff

statsmodels.tsa.statespace.tools.diff(series, k_diff=1, k_seasonal_diff=None, k_seasons=1)[source]

Difference a series simply and/or seasonally along the zero-th axis.

Given a series (denoted y_t), performs the differencing operation

\Delta^d \Delta_s^D y_t

where d = diff, s = k_seasons, D = seasonal_diff, and \Delta is the difference operator.

Parameters:

series : array_like

The series to be differenced.

diff : int, optional

The number of simple differences to perform. Default is 1.

seasonal_diff : int or None, optional

The number of seasonal differences to perform. Default is no seasonal differencing.

k_seasons : int, optional

The seasonal lag. Default is 1. Unused if there is no seasonal differencing.

Returns:

differenced : array

The differenced array.

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