statsmodels.tsa.vector_ar.var_model.VARProcess.acorr
-
VARProcess.acorr(nlags=
None
)[source]
Autocorrelation function
- Parameters:
- nlags
int
or None
The number of lags to include in the autocovariance function. The
default is the number of lags included in the model.
- Returns:
- acorr
ndarray
Autocorrelation and cross correlations (nlags, neqs, neqs)
Last update:
Oct 08, 2024