statsmodels.tsa.stattools.levinson_durbin¶
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statsmodels.tsa.stattools.
levinson_durbin
(s, nlags=10, isacov=False)[source]¶ Levinson-Durbin recursion for autoregressive processes
Parameters: s : array_like
If isacov is False, then this is the time series. If iasacov is true then this is interpreted as autocovariance starting with lag 0
nlags : integer
largest lag to include in recursion or order of the autoregressive process
isacov : boolean
flag to indicate whether the first argument, s, contains the autocovariances or the data series.
Returns: sigma_v : float
estimate of the error variance ?
arcoefs : ndarray
estimate of the autoregressive coefficients for a model including nlags
pacf : ndarray
partial autocorrelation function
sigma : ndarray
entire sigma array from intermediate result, last value is sigma_v
phi : ndarray
entire phi array from intermediate result, last column contains autoregressive coefficients for AR(nlags)
Notes
This function returns currently all results, but maybe we drop sigma and phi from the returns.
If this function is called with the time series (isacov=False), then the sample autocovariance function is calculated with the default options (biased, no fft).