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