partial autocorrelation function (PACF) [PACF]

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“A chart used in time series analysis to help determine the number of lags to use for the moving average component of an ARIMA model. It plots the partial auto correlation values for each lag value. If the PACF cuts off at a specific lag while the ACF dies down, the cutoff point is a good estimate for the maximum AR lag term. It is the partial autocorrelation because it estimates the autocorrelation between Yt and Yt+k, with the intervening terms removed.”

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By |February 1st, 2019|Comments Off on partial autocorrelation function (PACF) [PACF]