[R] What are the differences between ACF and PACF in time seriesanalysis?

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Thu Apr 27 11:56:07 CEST 2006

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 have a slowly decaying ACF
and a single spike in the PACF at lag 1. Both are utilised in the
process of order determination in the context of the Box-Jenkins
approach for time series modelling. 


Hi all,

I am desperately looking for answer to my previous question: what are
differences between ACF and PACF in time series and their applications?
got confused a lot by these two functions in R... Already having ACF,
why do
people decide to create PACF?

Thanks a lot

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