scikits.statsmodels.sandbox.tsa.pacf_ols

scikits.statsmodels.sandbox.tsa.pacf_ols(x, maxlag=20)

Partial autocorrelation estimated with non-recursive OLS

Parameters:

x : 1d array

observations of time series for which pacf is calculated

maxlag : int

largest lag for which pacf is returned

Returns:

pacf : 1d array

partial autocorrelations, maxlag+1 elements

Notes

This solves a separate OLS estimation for each desired lag.

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