statsmodels.tsa.stattools.pacf_burg¶
- statsmodels.tsa.stattools.pacf_burg(x, nlags=None, demean=True)[source]¶
Calculate Burg”s partial autocorrelation estimator.
- Parameters:
- xarray_like
Observations of time series for which pacf is calculated.
- nlags
int
,optional
Number of lags to return autocorrelation for. If not provided, uses min(10 * np.log10(nobs), nobs - 1).
- demeanbool,
optional
Flag indicating to demean that data. Set to False if x has been previously demeaned.
- Returns:
See also
statsmodels.tsa.stattools.pacf
Partial autocorrelation estimation.
statsmodels.tsa.stattools.pacf_yw
Partial autocorrelation estimation using Yule-Walker.
statsmodels.tsa.stattools.pacf_ols
Partial autocorrelation estimation using OLS.
References
[1]Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.