statsmodels.tsa.arima_process.arma_pacf

statsmodels.tsa.arima_process.arma_pacf(ar, ma, lags=10)

Theoretical partial autocorrelation function of an ARMA process.

Parameters

ararray_like, 1d

The coefficients for autoregressive lag polynomial, including zero lag.

maarray_like, 1d

The coefficients for moving-average lag polynomial, including zero lag.

lagsint

The number of terms (lags plus zero lag) to include in returned pacf.

Returns

ndarrray

The partial autocorrelation of ARMA process given by ar and ma.

Notes

Solves yule-walker equation for each lag order up to nobs lags.

not tested/checked yet