sktime.transformations.series.acf

class sktime.transformations.series.acf.AutoCorrelationTransformer(adjusted=False, n_lags=None, qstat=False, fft=False, missing='none')[source]

Bases: sktime.transformations.base._SeriesToSeriesTransformer

Auto-correlation transformer.

transform(Z, X=None)[source]

Transform data. Returns a transformed version of X.

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

Bases: sktime.transformations.base._SeriesToSeriesTransformer

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

transform(Z, X=None)[source]
pacf1d array

partial autocorrelations, nlags elements, including lag zero

confintarray, optional

Confidence intervals for the PACF. Returned if confint is not None.