diff --git a/img/pacf.png b/img/pacf.png new file mode 100644 index 0000000..7a5cb64 Binary files /dev/null and b/img/pacf.png differ diff --git a/main.tex b/main.tex index d80367a..ab5b13a 100644 --- a/main.tex +++ b/main.tex @@ -522,6 +522,29 @@ var.ts <- 1/n^2*acf(b,lag=0,type="cov")$acf[1]*(n+2*sum(((n-1):(n-10))*acf(b,10) mean(b) + c(-1.96,1.96)*sqrt(var.ts) \end{lstlisting} +\subsection{Partial autocorrelation (PACF)} +The $k$-th partial autocorrelation $\pi_k$ is defined as the correlation between $X_{t+k}$ and $X_t$, given all the values in between. +$$\pi_k = Cor(X_{t+k},X_t | X_{t+1},...,X_{t+k-1} = x_{t+k-1})$$ +\begin{itemize} + \item Given a time series X t , the partial autocorrelation of lag $k$, is the autocorrelation between $X_t$ and $X_{t+k}$ with the linear dependence of $X_{t+1}$ through to $X_{t+k-1}$ removed. + \item One can draw an analogy to regression. The ACF measures the „simple“ dependence between $X_t$ and $X_{t+k}$, whereas the PACF measures that dependence in a „multiple“ fashion.\footnote{See e.g. \href{https://n.ethz.ch/~jannisp/download/Mathematik-IV-Statistik/zf-statistik.pdf}{\textit{Mathematik IV}}} +\end{itemize} +$$\pi_1 = \rho_1$$ +$$\pi_2 = \frac{\rho_2 - \rho_1^2}{1-\rho_1^2}$$ +for AR(1) moderls, we have $\pi_2 = 0$, because $\rho_2 = \rho_1^2$, i.e. there is no conditional relation between $(X_t, X_{t+2} | X_{t+1})$ + +\begin{lstlisting}[language=R] +pacf(wave, ylim=c(1,1)) +\end{lstlisting} + +\begin{figure}[H] + \centering + \includegraphics[width=.25\textwidth]{pacf.png} + \caption{PACF for wave tank} + \label{fig:pacf} +\end{figure} + + \scriptsize \section*{Copyright} @@ -532,8 +555,8 @@ Jannis Portmann, FS21 \section*{References} \begin{enumerate} - \item ATSA\_Script\_v219219.docx, M. Dettling - \item ATSA\_Slides\_v219219.pptx, M. Dettling + \item ATSA\_Script\_v210219.docx, M. Dettling + \item ATSA\_Slides\_v210219.pptx, M. Dettling \end{enumerate} \section*{Image sources}