statsmodels.tsa.stattools.levinson_durbin_pacf¶
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statsmodels.tsa.stattools.
levinson_durbin_pacf
(pacf, nlags=None)[source]¶ Levinson-Durbin algorithm that returns the acf and ar coefficients.
Parameters: pacf : array_like
Partial autocorrelation array for lags 0, 1, … p.
nlags : int, optional
Number of lags in the AR model. If omitted, returns coefficients from an AR(p) and the first p autocorrelations.
Returns: arcoefs : ndarray
AR coefficients computed from the partial autocorrelations.
acf : ndarray
The acf computed from the partial autocorrelations. Array returned contains the autocorrelations corresponding to lags 0, 1, …, p.
References
[R185] Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.