PartialAutoCorrelationTransformer

class sktime.transformations.series.acf.PartialAutoCorrelationTransformer(n_lags=None, method='ywunbiased')[source]

Partial auto-correlation transformer.

Parameters
  • n_lags (int) – largest lag for which pacf is returned

  • method (str {'ywunbiased', 'ywmle', 'ols'}) –

    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

    • ld or ldunbiased : Levinson-Durbin recursion with bias correction

    • ldb or ldbiased : Levinson-Durbin recursion without bias correction

__init__(n_lags=None, method='ywunbiased')[source]

Initialize self. See help(type(self)) for accurate signature.