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seriesanalysis
2006 Apr 27
0
What are the differences between ACF and PACF in time seriesanalysis?
Hello Michael,
see as an online resource:
http://www.statsoft.com/textbook/sttimser.html or get hold on a time
series analysis textbook, like one of the monographies written by
Hamilton; Luetkepohl; Brockwell & Davis; Harvey or Box & Jenkins, to
name but a few.
In a nutshell, PACF 'eliminates' intermediate autocorrelations compared
to ACF, e.g. an AR(1) process will ordinarily