statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=40, method='unbiased')

Partial autocorrelation estimated with non-recursive yule_walker

Parameters

x1d array

observations of time series for which pacf is calculated

nlagsint

largest lag for which pacf is returned

method‘unbiased’ (default) or ‘mle’

method for the autocovariance calculations in yule walker

Returns

pacf1d array

partial autocorrelations, maxlag+1 elements

See also

statsmodels.tsa.stattools.pacf, statsmodels.tsa.stattools.pacf_burg, statsmodels.tsa.stattools.pacf_ols

Notes

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