statsmodels.tsa.stattools.pacf_burg¶
-
statsmodels.tsa.stattools.
pacf_burg
(x, nlags=None, demean=True)[source]¶ Burg’s partial autocorrelation estimator
Parameters: x : array-like
Observations of time series for which pacf is calculated
nlags : int, optional
Number of lags to compute the partial autocorrelations. If omitted, uses the smaller of 10(log10(nobs)) or nobs - 1
demean : bool, optional
Returns: pacf : ndarray
Partial autocorrelations for lags 0, 1, …, nlag
sigma2 : ndarray
Residual variance estimates where the value in position m is the residual variance in an AR model that includes m lags
See also
statsmodels.tsa.stattools.pacf
,statsmodels.tsa.stattools.pacf_yw
,statsmodels.tsa.stattools.pacf_ols
References
[*] Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.