PACF

Install and import

bash

npm install fintech-algorithms

import { pacf } from "fintech-algorithms/statistical-time-series/diagnostics/pacf";

Signature

pacf(values, maxLag)

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

values

[0.49366418, 1.54242291, -0.82556495, 0.47513288, 0.50704417, -0.3816439]

Showing 6 of 96 elements.

maxLag

Call

pacf(values, maxLag)

Returns

object with 10 fields: method, variant, nobs, max_lag, coefficients, acf_coefficients, recursion, confidence_95, …

{
  "method": "pacf",
  "variant": "biased-yule-walker-levinson-durbin",
  "nobs": 96,
  "max_lag": 12,
  "coefficients": [
    1,
    0.6643847368068891,
    -0.0011391366900339354,
    -0.013487015741398519,
    -0.1763888054329689,
    -0.1217089519082119
  ],
  "acf_coefficients": [
    1,
    0.6643847368068891,
    0.4407707648102877,
    0.28488438813871975,
    0.08546397187939134,
    -0.07801591085987973
  ],
  "recursion": [
    {
      "lag": 1,
      "reflection": 0.6643847368068891,
      "prediction_variance": 0.5585929214980406
    },
    {
      "lag": 2,
      "reflection": -0.0011391366900339354,
      "prediction_variance": 0.5585921966497681
    },
    {
      "lag": 3,
      "reflection": -0.013487015741398519,
      "prediction_variance": 0.5584905889562045
    }
  ],
  "confidence_95": 0.2000416623272929,
  "state": "estimated",
  "reason": "positive prediction variance through requested lag"
}

Other exports

This module also exports acf, adf, kpss, ljungBox, zivotAndrews, runDiagnostic. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References

statsmodels.tsa.stattools.acf
statsmodels.tsa.stattools.pacf
Evidence decisions