7.8.1.4. 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 : 1d array observations of time series for which pacf is calculated nlags : int largest lag for which pacf is returned method : ‘unbiased’ (default) or ‘mle’ method for the autocovariance calculations in yule walker
Returns:	pacf : 1d array partial autocorrelations, maxlag+1 elements

Notes

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