statsmodels.tsa.arima_process.arma_pacf¶

statsmodels.tsa.arima_process.arma_pacf(ar, ma, lags=10)[source]¶

Theoretical partial autocorrelation function of an ARMA process.

Parameters:¶

ar : array_like, 1d¶

The coefficients for autoregressive lag polynomial, including zero lag.

ma : array_like, 1d¶

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

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