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:
- pacfnumpy: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.
- arcoefs
References
[1]Brockwell, P.J. and Davis, R.A., 2016. Introduction to time series and forecasting. Springer.