pmdarima.utils
.pacf¶
-
pmdarima.utils.
pacf
(x, nlags=40, method='ywunbiased', alpha=None)[source][source]¶ Partial autocorrelation estimated
Parameters: x : 1d array
observations of time series for which pacf is calculated
nlags : int
largest lag for which the pacf is returned
method : str
specifies which method for the calculations to use:
- ‘yw’ or ‘ywunbiased’ : Yule-Walker with bias correction in denominator for acovf. Default.
- ‘ywm’ or ‘ywmle’ : Yule-Walker without bias correction
- ‘ols’ : regression of time series on lags of it and on constant
- ‘ols-inefficient’ : regression of time series on lags using a single common sample to estimate all pacf coefficients
- ‘ols-unbiased’ : regression of time series on lags with a bias adjustment
- ‘ld’ or ‘ldunbiased’ : Levinson-Durbin recursion with bias correction
- ‘ldb’ or ‘ldbiased’ : Levinson-Durbin recursion without bias correction
alpha : float, optional
If a number is given, the confidence intervals for the given level are returned. For instance if alpha=.05, 95 % confidence intervals are returned where the standard deviation is computed according to 1/sqrt(len(x))
Returns: pacf : 1d array
partial autocorrelations, nlags elements, including lag zero
confint : array, optional
Confidence intervals for the PACF. Returned if confint is not None.
See also
statsmodels.tsa.stattools.acf
,statsmodels.tsa.stattools.pacf_yw
,statsmodels.tsa.stattools.pacf_burg
,statsmodels.tsa.stattools.pacf_ols
Notes
Based on simulation evidence across a range of low-order ARMA models, the best methods based on root MSE are Yule-Walker (MLW), Levinson-Durbin (MLE) and Burg, respectively. The estimators with the lowest bias included included these three in addition to OLS and OLS-unbiased.
Yule-Walker (unbiased) and Levinson-Durbin (unbiased) performed consistently worse than the other options.