statsmodels.tsa.stattools.levinson_durbin¶
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statsmodels.tsa.stattools.
levinson_durbin
(s, nlags=10, isacov=False)[source]¶ Levinson-Durbin recursion for autoregressive processes.
- Parameters
s : array_like
If isacov is False, then this is the time series. If iasacov is true then this is interpreted as autocovariance starting with lag 0.
nlags : int, optional
The largest lag to include in recursion or order of the autoregressive process.
isacov : bool, optional
Flag indicating whether the first argument, s, contains the autocovariances or the data series.
- Returns
sigma_v : float
The estimate of the error variance.
arcoefs : ndarray
The estimate of the autoregressive coefficients for a model including nlags.
pacf : ndarray
The partial autocorrelation function.
sigma : ndarray
The entire sigma array from intermediate result, last value is sigma_v.
phi : ndarray
The entire phi array from intermediate result, last column contains autoregressive coefficients for AR(nlags).
Notes
This function returns currently all results, but maybe we drop sigma and phi from the returns.
If this function is called with the time series (isacov=False), then the sample autocovariance function is calculated with the default options (biased, no fft).