statsmodels.tsa.arima_process.ArmaProcess.pacf

ArmaProcess.pacf(lags=None)[source]

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