statsmodels.tsa.stattools.levinson_durbin_pacf

statsmodels.tsa.stattools.levinson_durbin_pacf(pacf, nlags=None)

Levinson-Durbin algorithm that returns the acf and ar coefficients

Parameters

pacfarray-like

Partial autocorrelation array for lags 0, 1, … p

nlagsint, optional

Number of lags in the AR model. If omitted, returns coefficients from an AR(p) and the first p autocorrelations

Returns

arcoefsndarray

AR coefficients computed from the partial autocorrelations

acfndarray

acf computed from the partial autocorrelations. Array returned contains the autocorelations corresponding to lags 0, 1, …, p

References

*

Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.