statsmodels.tsa.stattools.pacf
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statsmodels.tsa.stattools.pacf(x, nlags=40, method='ywunbiased', alpha=None)
[source] -
Partial autocorrelation estimated
Parameters: x : 1d array
observations of time series for which pacf is calculated
nlags : 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
alpha : scalar, optional
If a number is given, the confidence intervals for the given level are returned. For instance if alpha=.05, 95 % confidence intervals are returned where the standard deviation is computed according to 1/sqrt(len(x))
Returns: pacf : 1d array
partial autocorrelations, nlags elements, including lag zero
confint : array, optional
Confidence intervals for the PACF. Returned if confint is not None.
Notes
This solves yule_walker equations or ols for each desired lag and contains currently duplicate calculations.
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