statsmodels.tsa.stattools.pacf_yw

statsmodels.tsa.stattools.pacf_yw(x, nlags=40, method='unbiased')[source]

Partial autocorrelation estimated with non-recursive yule_walker.

Parameters:

x : array_like

The observations of time series for which pacf is calculated.

nlags : int, optional

The largest lag for which pacf is returned.

method : {‘unbiased’, ‘mle’}

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.