statsmodels.tsa.arima_process.arma_pacf

statsmodels.tsa.arima_process.arma_pacf(ar, ma, lags=10)

Theoretical partial autocorrelation function of an ARMA process.

Parameters:

• ar (array_like, 1d) – The coefficients for autoregressive lag polynomial, including zero lag.

• ma (array_like, 1d) – The coefficients for moving-average lag polynomial, including zero lag.

• 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