statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=None, method='adjusted')

Partial autocorrelation estimated with non-recursive yule_walker.

Parameters:

• x (array_like) – The observations of time series for which pacf is calculated.

• nlags (int, optional) – Number of lags to return autocorrelation for. If not provided, uses min(10 * np.log10(nobs), nobs - 1).

• method ({"adjusted", "mle"}, default "adjusted") – The method for the autocovariance calculations in yule walker.

Returns:

The partial autocorrelations, maxlag+1 elements.

Return type:

ndarray

See also

statsmodels.tsa.stattools.pacf

Partial autocorrelation estimation.

statsmodels.tsa.stattools.pacf_ols

Partial autocorrelation estimation using OLS.

statsmodels.tsa.stattools.pacf_burg

Partial autocorrelation estimation using Burg”s method.

Notes

This solves yule_walker for each desired lag and contains currently duplicate calculations.