JuliaStats/Stats.jl — pull request #28 by andreasnoackjensen (2013-10-09 09:20:10+00:00)
Title: First take on pacf

I have included two methods to compute the pacf, a regression based which is what MATLAB does and which should be more reliable when the process is close to non-stationarity and a Yule Walker based method which is more efficient and what R and OxMetrics do.

I have included the durbin and levinson solvers in this request but maybe they will go into Base.