statsmodels.tsa.stattools.pacf_ols

statsmodels.tsa.stattools.pacf_ols(x, nlags=40)

Calculate partial autocorrelations

Parameters:

• x (1d array) – observations of time series for which pacf is calculated
• nlags (int) – Number of lags for which pacf is returned. Lag 0 is not returned.

Returns:

pacf – partial autocorrelations, maxlag+1 elements

Return type:

1d array

Notes

This solves a separate OLS estimation for each desired lag.