Engineering Applications of Statistics
The Partial Autocorrelation Function (PACF) measures the correlation between a time series and its own lagged values, controlling for the effects of shorter lags. It's essential in identifying the appropriate number of autoregressive terms in ARIMA models, helping to pinpoint how many past values should be included to accurately predict future observations. Understanding the PACF is crucial for effective time series analysis and modeling, particularly when determining the order of the AR component in ARIMA models.
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