Change the default value of the `method` argument in the PACF

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Assessment

Difficulty
3/5
Estimated time
1-2 days
Newbie friendliness
45/100
Issue type
Feature
Clarity
Mostly clear
Activity status
Stale
Tech stack
python
Domain
api, data

Research direction

Start by locating the PACF implementation and its method argument, then review the documentation notes comparing the available methods. Change the default to the selected better-performing option and verify that the documented default and PACF behavior are consistent.

Written by the indexing model from the issue text.

Description

Is your feature request related to a problem? Please describe

The default value for the method argument of PACF is ywunbiased which is the same as ywadjusted. In the documentation notes itself it states that:

Yule-Walker (adjusted) and Levinson-Durbin (adjusted) performed consistently worse than the other options.

Describe the solution you'd like

Change the default value of the method argument to one of the better performing solutions (e.g., ywmle) as described in the documentation.

Describe alternatives you have considered

None.

Additional context

The PACF with ywunbiased often results in partial autocorrelations greater than 1 for larger lags. This also occurs for ldadjusted.

Dominant language
Python
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Merged PRs (30d)
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