statsmodels.tsa.stattools.pacf_ols

statsmodels.tsa.stattools.pacf_ols(x, nlags=40)

Calculate partial autocorrelations

Parameters:

x : 1d array

observations of time series for which pacf is calculated

nlags : int

Number of lags for which pacf is returned. Lag 0 is not returned.

Returns:

pacf : 1d array

partial autocorrelations, maxlag+1 elements

Notes

This solves a separate OLS estimation for each desired lag.