statsmodels.tsa.stattools.acf¶
-
statsmodels.tsa.stattools.
acf
(x, unbiased=False, nlags=40, qstat=False, fft=None, alpha=None, missing='none')[source]¶ Calculate the autocorrelation function.
- Parameters
- xarray_like
The time series data.
- unbiasedbool
If True, then denominators for autocovariance are n-k, otherwise n.
- nlags
int
,optional
Number of lags to return autocorrelation for.
- qstatbool,
optional
If True, returns the Ljung-Box q statistic for each autocorrelation coefficient. See q_stat for more information.
- fftbool,
optional
If True, computes the ACF via FFT.
- alphascalar,
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 Bartlett’s formula.
- missing
str
,optional
A string in [‘none’, ‘raise’, ‘conservative’, ‘drop’] specifying how the NaNs are to be treated.
- Returns
- acf
ndarray
The autocorrelation function.
- confint
ndarray
,optional
Confidence intervals for the ACF. Returned if alpha is not None.
- qstat
ndarray
,optional
The Ljung-Box Q-Statistic. Returned if q_stat is True.
- pvalues
ndarray
,optional
The p-values associated with the Q-statistics. Returned if q_stat is True.
- acf
Notes
The acf at lag 0 (ie., 1) is returned.
For very long time series it is recommended to use fft convolution instead. When fft is False uses a simple, direct estimator of the autocovariances that only computes the first nlag + 1 values. This can be much faster when the time series is long and only a small number of autocovariances are needed.
If unbiased is true, the denominator for the autocovariance is adjusted but the autocorrelation is not an unbiased estimator.
References
- 1
Parzen, E., 1963. On spectral analysis with missing observations and amplitude modulation. Sankhya: The Indian Journal of Statistics, Series A, pp.383-392.