statsmodels.tsa.vector_ar.var_model.VARProcess.acorr

method

VARProcess.acorr(nlags=None)[source]

Autocorrelation function

Parameters
nlagsint or None

The number of lags to include in the autocovariance function. The default is the number of lags included in the model.

Returns
acorrndarray

Autocorrelation and cross correlations (nlags, neqs, neqs)