PartialCorrelationFunction

PartialCorrelationFunction[data, hspec]
estimates the partial correlation function at lags hspec from data.

PartialCorrelationFunction[tproc, hspec]
represents the partial correlation function at lags hspec for the time series process tproc.

DetailsDetails

  • PartialCorrelationFunction is also known as the partial autocorrelation function (PACF).
  • PartialCorrelationFunction represents the correlation between and , conditioned on for , and representing tproc at time t.
  • PartialCorrelationFunction[tproc, hspec] is defined only if tproc is a weakly stationary process.
  • The process tproc can be any process such that WeakStationarity[tproc] gives True.
  • The following specifications can be given for hspec:
  • at time or lag
    {max}unit spaced from 0 to
    {min,max}unit spaced from to
    {min,max,d}from to in steps of d
    {{1,2,...}}use explicit

ExamplesExamplesopen allclose all

Basic Examples (3)Basic Examples (3)

Estimate the partial correlation function at lag 2:

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Sample partial correlation function for a random sample from an autoregressive time series:

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Partial correlation function for an ARProcess:

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