statsmodels.sandbox.tsa.fftarma.ArmaFft.pacf

ArmaFft.pacf(lags=None)

Theoretical partial autocorrelation function of an ARMA process

Parameters:

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