AI engineering glossary · Time series recsys
What is PACF (partial autocorrelation function)?
Partial autocorrelation function (also called PACF): The correlation between a series and its lag-k copy after removing the effect of the shorter lags in between. A cut-off after lag p suggests an autoregressive process of order p, so it is used to choose model order.
Partial autocorrelation function: an example
PACF with significant spikes at lags 1 and 2 only suggests an AR(2) model.
Related terms
More Time series recsys terms
- PatchTST
- Pointwise ranking
- Popularity bias
- Prediction interval
- Probabilistic forecasting
- Prophet
- Quantile forecast
- Random walk
Where you learn it
Partial autocorrelation function is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.