statsmodels.tsa.stattools.levinson_durbin¶
- statsmodels.tsa.stattools.levinson_durbin(s, nlags=10, isacov=False)[source]¶
Levinson-Durbin recursion for autoregressive processes.
- Parameters:
- sarray_like
If isacov is False, then this is the time series. If iasacov is true then this is interpreted as autocovariance starting with lag 0.
- nlags
int,optional The largest lag to include in recursion or order of the autoregressive process.
- isacovbool,
optional Flag indicating whether the first argument, s, contains the autocovariances or the data series.
- Returns:
- sigma_v
float The estimate of the error variance.
- arcoefs
ndarray The estimate of the autoregressive coefficients for a model including nlags.
- pacf
ndarray The partial autocorrelation function.
- sigma
ndarray The entire sigma array from intermediate result, last value is sigma_v.
- phi
ndarray The entire phi array from intermediate result, last column contains autoregressive coefficients for AR(nlags).
- sigma_v
Notes
This function returns currently all results, but maybe we drop sigma and phi from the returns.
If this function is called with the time series (isacov=False), then the sample autocovariance function is calculated with the default options (biased, no fft).