statsmodels.sandbox.tsa.fftarma.ArmaFft.pacf

ArmaFft.pacf(lags=None)

Partial autocorrelation function of an ARMA process

Parameters:

• ar (array_like, 1d) – coefficient for autoregressive lag polynomial, including zero lag
• ma (array_like, 1d) – coefficient for moving-average lag polynomial, including zero lag
• lags (int) – number of terms (lags plus zero lag) to include in returned pacf

Returns:

pacf – partial autocorrelation of ARMA process given by ar, ma

Return type:

array

Notes

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

not tested/checked yet