statsmodels.tsa.stattools.pacf_burg¶
-
statsmodels.tsa.stattools.
pacf_burg
(x, nlags=None, demean=True)[source]¶ Calculate 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
Flag indicating to demean that data. Set to False if x has been previously demeaned.
- 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
Partial autocorrelation estimation.
statsmodels.tsa.stattools.pacf_yw
Partial autocorrelation estimation using Yule-Walker.
statsmodels.tsa.stattools.pacf_ols
Partial autocorrelation estimation using OLS.
References
- R186
Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.