statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=None, method='adjusted')

Partial autocorrelation estimated with non-recursive yule_walker.

Parameters:

xarray_like

The observations of time series for which pacf is calculated.

nlagsint, optional

Number of lags to return autocorrelation for. If not provided, uses min(10 * np.log10(nobs), nobs - 1).

method{“adjusted”, “mle”}, default “adjusted”

The method for the autocovariance calculations in yule walker.

Returns:

ndarray

The partial autocorrelations, maxlag+1 elements.

See also

statsmodels.tsa.stattools.pacf

Partial autocorrelation estimation.

statsmodels.tsa.stattools.pacf_ols

Partial autocorrelation estimation using OLS.

statsmodels.tsa.stattools.pacf_burg

Partial autocorrelation estimation using Burg”s method.

Notes

This solves yule_walker for each desired lag and contains currently duplicate calculations.