statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=40, method='unbiased')[source]

Partial autocorrelation estimated with non-recursive yule_walker

Parameters
  • x (1d array) – observations of time series for which pacf is calculated

  • nlags (int) – largest lag for which pacf is returned

  • method ('unbiased' (default) or 'mle') – method for the autocovariance calculations in yule walker

Returns

pacf – partial autocorrelations, maxlag+1 elements

Return type

1d array

Notes

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