statsmodels.tsa.vector_ar.var_model.VARProcess.acorr

VARProcess.acorr(nlags=None)

Autocorrelation function

Parameters:

nlagsint or None

The number of lags to include in the autocovariance function. The default is the number of lags included in the model.

Returns:

acorrndarray

Autocorrelation and cross correlations (nlags, neqs, neqs)