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 return autocorrelation for. If not provided, uses min(10 * np.log10(nobs), 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