scikits.statsmodels.sandbox.tsa.pacf_yw

scikits.statsmodels.sandbox.tsa.pacf_yw(x, maxlag=20, method='unbiased')

Partial autocorrelation estimated with non-recursive yule_walker

Parameters :

x : 1d array

observations of time series for which pacf is calculated

maxlag : 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.

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