statsmodels.tsa.stattools.pacf_ols

statsmodels.tsa.stattools.pacf_ols(x, nlags=40) [source]

Calculate partial autocorrelations

Parameters:
  • x (1d array) – observations of time series for which pacf is calculated
  • nlags (int) – Number of lags for which pacf is returned. Lag 0 is not returned.
Returns:

pacf – partial autocorrelations, maxlag+1 elements

Return type:

1d array

Notes

This solves a separate OLS estimation for each desired lag.

© 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.stattools.pacf_ols.html