search for: autocoreelation

...ing I am citing some definitions. I would appreciate your thoughts. ACF(k) estimates the correlation between y(t) and y(t-k) like an ordinary correlation coefficient. ACF is the simple ( i.e. unconditional ) correlation between a time series and it's lags thus y(t)=a+b*y(t-k) gnerates the kth autocoreelation coefficient (b). If we have form y(t)=a+b*y(t-1)+c*y(t-2) .. then (c) is the PARTIAL AUTOCORRELATION COEFFFICIENT or in other words the CONDITIONAL CORRELATION of lag 2 given lag1 PACF(k) estimates the correlation between y(t) and y(t-k) adjusted for the effects of y(t-1), ..., y(t-k+1). Model i...