statsmodels.sandbox.tsa.fftarma.ArmaFft.pacf

ArmaFft.pacf(lags=None)

Theoretical partial autocorrelation function of an ARMA process.

Parameters:

lags (int) – The number of terms (lags plus zero lag) to include in returned pacf.

Returns:

The partial autocorrelation of ARMA process given by ar and ma.

Return type:

ndarrray

Notes

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

not tested/checked yet