statsmodels.tsa.arima_process.arma_pacf

statsmodels.tsa.arima_process.arma_pacf(ar, ma, lags=10, **kwargs)

Partial autocorrelation function of an ARMA process

Parameters

ararray_like, 1d

coefficient for autoregressive lag polynomial, including zero lag

maarray_like, 1d

coefficient for moving-average lag polynomial, including zero lag

lagsint

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

Returns

pacfarray

partial autocorrelation of ARMA process given by ar, ma

Notes

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

not tested/checked yet