Partial autocorrelation function: Difference between revisions

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Revision as of 12:29, 26 August 2022

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

[[File:Partial autocorrelation function.png|thumb|Partial autocorrelation function of [[Lake Huron]]'s depth with confidence interval<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.