Theoretical partial autocorrelation function of an ARMA process.
- Parameters:
- lags : int
The number of terms (lags plus zero lag) to include in returned pacf.
- Returns:
The partial autocorrelation of ARMA process given by ar and ma.
- Return type:
ndarrray
Notes
Solves yule-walker equation for each lag order up to nobs lags.
not tested/checked yet