tsa.stattools.pacf_yw()
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 : 1d array
observations of time series for which pacf is calculated
nlags : int
largest lag for which pacf is returned
method : ‘unbiased’ (default) or ‘mle’
method for the autocovariance calculations in yule walker
Returns: pacf : 1d array
partial autocorrelations, maxlag+1 elements
Notes
This solves yule_walker for each desired lag and contains currently duplicate calculations.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.pacf_yw.html