Interpreting Partial Autocorrelation Functions of Seasonal Time Series Models
David C. Hamilton, Donald G. Watts
Abstract
David C. Hamilton, Donald G. Watts
Abstract
A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a signature of the regular component of the model, is a simple composite of the autocorrelation and partial autocorrelation functions of the regular component.
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A simple approach to understanding the behaviour of the partial autocorrelation function of seasonal time series is presented, based on a partial autocorrelation pattern. This pattern, which acts as a signature of the regular component of the model, is a simple composite of the autocorrelation and partial autocorrelation functions of the regular component.
Key concepts: Autocorrelation, Partial autocorrelation function, Mathematics, Autocorrelation technique, Moving-average model, Series (stratigraphy), Simple (philosophy), Component (thermodynamics)