statsmodels.tsa.arima_process.ArmaProcess.pacf

ArmaProcess.pacf(lags=None)[source]

Theoretical partial autocorrelation function of an ARMA process.

Parameters:
lagsint

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

Returns:
ndarrray

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

Notes

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

not tested/checked yet


Last update: May 14, 2024