statsmodels.tsa.arima_process.ArmaProcess.pacf¶

ArmaProcess.pacf(lags=None)[source]¶

Theoretical partial autocorrelation function of an ARMA process.

Parameters:¶

lags : int¶

The number of terms (lags plus zero lag) to include in returned pacf.

Returns:¶

The partial autocorrelation of ARMA process given by ar and ma.

Return type:¶

ndarrray

Notes

Solves yule-walker equation for each lag order up to nobs lags.

not tested/checked yet