Partial autocorrelation function: Difference between revisions

Revision as of 10:50, 31 March 2022

Revision as of 15:32, 31 March 2022

Line 1:

{{Short description|Partial correlation of a time series with its lagged values}}

{{No footnotes|date=September 2011}}

[[File:Partial autocorrelation function.png|thumb|Partial autocorrelation function of Lake Huron's depth<ref>{{cite book |last1=Brockwell |first1=Peter J. |last2=Davis |first2=Richard A. |title=Introduction to Time Series and Forecasting |date=2016 |publisher=Springer International Publishing |isbn=978-3319298528 |page=132 |edition=Third |url=https://doi.org/10.1007/978-3-319-29854-2 |language=English |chapter=Modeling and Forecasting with ARMA Processes}}</ref>]]

[[File:Partial autocorrelation function.png|thumb|Partial autocorrelation function]]

In [[time series analysis]], the '''partial autocorrelation function''' ('''PACF''') gives the [[partial correlation]] of a stationary time series with its own lagged values, regressed the values of the time series at all shorter lags. It contrasts with the [[autocorrelation function]], which does not control for other lags.