statsmodels.tsa.arima_process.arma_pacf

statsmodels.tsa.arima_process.arma_pacf(ar, ma, lags=10)

Theoretical partial autocorrelation function of an ARMA process

Parameters:

ararray_like, 1d

The coefficients for autoregressive lag polynomial, including zero lag.

maarray_like, 1d

The coefficients for moving-average lag polynomial, including zero lag.

lagsint

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

Returns:

ndarray

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

Notes

Solves the Yule-Walker equation for each lag order up to lags.

not tested/checked yet