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statsmodels.sandbox.tsa.fftarma.ArmaFft.pacf

ArmaFft.pacf(nobs=None)

partial autocorrelation function of an ARMA process

Parameters:

ar : array_like, 1d

coefficient for autoregressive lag polynomial, including zero lag

ma : array_like, 1d

coefficient for moving-average lag polynomial, including zero lag

nobs : int

number of terms (lags plus zero lag) to include in returned pacf

Returns:

pacf : array

partial autocorrelation of ARMA process given by ar, ma

Notes

solves yule-walker equation for each lag order up to nobs lags

not tested/checked yet

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