statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=None, method='adjusted')

Partial autocorrelation estimated with non-recursive yule_walker.

Parameters

xarray_like

The observations of time series for which pacf is calculated.

nlagsint, default 40

The largest lag for which pacf is returned.

method{“adjusted”, “mle”}, default “adjusted”

The method for the autocovariance calculations in yule walker.

Returns

ndarray

The partial autocorrelations, maxlag+1 elements.

See also

statsmodels.tsa.stattools.pacf

Partial autocorrelation estimation.

statsmodels.tsa.stattools.pacf_ols

Partial autocorrelation estimation using OLS.

statsmodels.tsa.stattools.pacf_burg

Partial autocorrelation estimation using Burg”s method.

Notes

This solves yule_walker for each desired lag and contains currently duplicate calculations.