Partial autocorrelation function: Difference between revisions

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

{{NoMore 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>]]

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.

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==References==

{{Reflist}}

*{{cite book |last=Box |first=G. E. P. |last2=Jenkins |first2=G. M. |last3=Reinsel |first3=G. C. |year=2008 |title=Time Series Analysis, Forecasting and Control |edition=4th |publisher=Wiley |___location=Hoboken, NJ |isbn=9780470272848 }}

*{{cite book |last=Brockwell |first=Peter |last2=Davis |first2=Richard |year=2009 |title=Time Series: Theory and Methods |edition=2nd |publisher=Springer |___location=New York |isbn=9781441903198 }}