statsmodels.tsa.arima_process.arma_pacf

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

Partial autocorrelation function of an ARMA process

Parameters:
  • ar (array_like, 1d) – coefficient for autoregressive lag polynomial, including zero lag
  • ma (array_like, 1d) – coefficient for moving-average lag polynomial, including zero lag
  • lags (int) – number of terms (lags plus zero lag) to include in returned pacf
Returns:

pacf – partial autocorrelation of ARMA process given by ar, ma

Return type:

array

Notes

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

not tested/checked yet

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.arima_process.arma_pacf.html