acf(x, adjusted=False, nlags=None, qstat=False, fft=None, alpha=None, missing='none')¶
Calculate the autocorrelation function.
The time series data.
If True, then denominators for autocovariance are n-k, otherwise n.
Number of lags to return autocorrelation for.
If True, returns the Ljung-Box q statistic for each autocorrelation coefficient. See q_stat for more information.
If True, computes the ACF via FFT.
If a number is given, the confidence intervals for the given level are returned. For instance if alpha=.05, 95 % confidence intervals are returned where the standard deviation is computed according to Bartlett”s formula.
A string in [“none”, “raise”, “conservative”, “drop”] specifying how the NaNs are to be treated. “none” performs no checks. “raise” raises an exception if NaN values are found. “drop” removes the missing observations and then estimates the autocovariances treating the non-missing as contiguous. “conservative” computes the autocovariance using nan-ops so that nans are removed when computing the mean and cross-products that are used to estimate the autocovariance. When using “conservative”, n is set to the number of non-missing observations.
The autocorrelation function.
Confidence intervals for the ACF. Returned if alpha is not None.
The Ljung-Box Q-Statistic. Returned if q_stat is True.
The p-values associated with the Q-statistics. Returned if q_stat is True.
The acf at lag 0 (ie., 1) is returned.
For very long time series it is recommended to use fft convolution instead. When fft is False uses a simple, direct estimator of the autocovariances that only computes the first nlag + 1 values. This can be much faster when the time series is long and only a small number of autocovariances are needed.
If adjusted is true, the denominator for the autocovariance is adjusted for the loss of data.
Parzen, E., 1963. On spectral analysis with missing observations and amplitude modulation. Sankhya: The Indian Journal of Statistics, Series A, pp.383-392.