statsmodels.tsa.stattools.levinson_durbin

statsmodels.tsa.stattools.levinson_durbin(s, nlags=10, isacov=False)[source]

Levinson-Durbin recursion for autoregressive processes

Parameters:
  • s (array_like) – If isacov is False, then this is the time series. If iasacov is true then this is interpreted as autocovariance starting with lag 0
  • nlags (integer) – largest lag to include in recursion or order of the autoregressive process
  • isacov (boolean) – flag to indicate whether the first argument, s, contains the autocovariances or the data series.
Returns:

  • sigma_v (float) – estimate of the error variance ?
  • arcoefs (ndarray) – estimate of the autoregressive coefficients for a model including nlags
  • pacf (ndarray) – partial autocorrelation function
  • sigma (ndarray) – entire sigma array from intermediate result, last value is sigma_v
  • phi (ndarray) – entire phi array from intermediate result, last column contains autoregressive coefficients for AR(nlags)

Notes

This function returns currently all results, but maybe we drop sigma and phi from the returns.

If this function is called with the time series (isacov=False), then the sample autocovariance function is calculated with the default options (biased, no fft).