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scikits.statsmodels.tsa.stattools.pacf

scikits.statsmodels.tsa.stattools.pacf(x, nlags=40, method='ywunbiased')[source]

Partial autocorrelation estimated

Parameters :

x : 1d array

observations of time series for which pacf is calculated

maxlag : int

largest lag for which pacf is returned

method : ‘ywunbiased’ (default) or ‘ywmle’ or ‘ols’

specifies which method for the calculations to use, - yw or ywunbiased : yule walker with bias correction in denominator for acovf - ywm or ywmle : yule walker without bias correction - ols - regression of time series on lags of it and on constant - ld or ldunbiased : Levinson-Durbin recursion with bias correction - ldb or ldbiased : Levinson-Durbin recursion without bias correction

Returns :

pacf : 1d array

partial autocorrelations, nlags elements, including lag zero

Notes

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

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