statsmodels.tsa.stattools.pacf_yw¶
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statsmodels.tsa.stattools.
pacf_yw
(x, nlags=40, method='unbiased')[source]¶ Partial autocorrelation estimated with non-recursive yule_walker.
Parameters: x : array_like
The observations of time series for which pacf is calculated.
nlags : int, optional
The largest lag for which pacf is returned.
method : {‘unbiased’, ‘mle’}
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.