statsmodels.tsa.stattools.levinson_durbin_pacf

statsmodels.tsa.stattools.levinson_durbin_pacf(pacf, nlags=None)[source]

Levinson-Durbin algorithm that returns the acf and ar coefficients.

Parameters

pacf : array_like

Partial autocorrelation array for lags 0, 1, … p.

nlags : int, optional

Number of lags in the AR model. If omitted, returns coefficients from an AR(p) and the first p autocorrelations.

Returns

arcoefs : ndarray

AR coefficients computed from the partial autocorrelations.

acf : ndarray

The acf computed from the partial autocorrelations. Array returned contains the autocorrelations corresponding to lags 0, 1, …, p.

References

R185

Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.