statsmodels.sandbox.tsa.fftarma.ArmaFft.pacf¶

ArmaFft.pacf(lags=None)¶

Theoretical partial autocorrelation function of an ARMA process.

Parameters:¶

lagsint

The number of terms (lags plus zero lag) to include in returned pacf.

Returns:¶

ndarrray

The partial autocorrelation of ARMA process given by ar and ma.

Notes

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

not tested/checked yet