Partial autocorrelation
Topic of Forecasting, part of Time series
Partial autocorrelation
| Type | Topic |
| Taught in | Forecasting |
| Part | Time series |
| Questions using it | 2 |
The correlation between X_t and X_{t-k} after removing the linear effect of the observations in between. An autoregression of order p has partial autocorrelation zero beyond lag p, which is how the PACF suggests an order.
In Forecasting
From Forecasting
The autocorrelation and the partial autocorrelation both keep oscillating. An MA process would cut the autocorrelation off after a finite lag. An AR process would cut the partial autocorrelation off. Neither plot dies. That is the seasonality, still in the correlations.
Used in
- Taught in Forecasting
- Questions that use it (2) — C45 · C49
- All 2 questions on Forecasting
See also
Autocorrelation function · Autoregression and moving averages · Correlation · Accidental-deaths data · Traffic data · ARIMA model · Unit root · Seasonality