Partial Auto Correlation Coefficient (PACC)

The Partial Auto Correlation Coefficient (PACC) is an estimate of the additional correlation between the data value at time 't' and the data value at time (t-k), after adjusting for the correlation of the values between time 't' and the data value at time (t-k). Partial Auto Correlation Coefficients are used when constructing ARIMA models for time series data. For each Partial Auto Correlation, a corresponding Standard Error is calculated. If the time series is random, all of the Partial Auto Correlations should be within approximately +/- 2 Standard Errors. When constructing an Auto regressive model (AR), a partial auto correlation estimate extending beyond this distance indicates the need for a coefficient at the indicated time lag.