Partial autocorrelation in time series data
Like autocorrelation, the partial autocorrelation function (PACF) measures the correlation coefficient between a time-series and lagged versions of itself. However, it extends upon this idea by also removing the effect of previous time points. For example, a partial autocorrelation function of order 3 returns the correlation between our time series (t_1, t_2, t_3, …) and its own values lagged by 3 time points (t_4, t_5, t_6, …), but only after removing all effects attributable to lags 1 and 2.
The plot_pacf() function in the statsmodels library can be used to measure and plot the partial autocorrelation of a time series.
This is a part of the course
“Visualizing Time Series Data in Python”
Exercise instructions
- Import
tsaplotsfromstatsmodels.graphics. - Use the
plot_pacf()function fromtsaplotsto plot the partial autocorrelation of the'co2'column inco2_levels. - Specify a maximum lag of 24.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Import required libraries
import matplotlib.pyplot as plt
plt.style.use('fivethirtyeight')
____
# Display the partial autocorrelation plot of your time series
fig = ____(co2_levels[____], lags=____)
# Show plot
plt.show()This exercise is part of the course
Visualizing Time Series Data in Python
Visualize seasonality, trends and other patterns in your time series data.
You will go beyond summary statistics by learning about autocorrelation and partial autocorrelation plots. You will also learn how to automatically detect seasonality, trend and noise in your time series data.
Exercise 1: Autocorrelation and Partial autocorrelationExercise 2: Autocorrelation in time series dataExercise 3: Interpret autocorrelation plotsExercise 4: Partial autocorrelation in time series dataExercise 5: Interpret partial autocorrelation plotsExercise 6: Seasonality, trend and noise in time series dataExercise 7: Time series decompositionExercise 8: Plot individual componentsExercise 9: A quick reviewExercise 10: Visualize the airline datasetExercise 11: Analyze the airline datasetExercise 12: Time series decomposition of the airline datasetWhat is DataCamp?
Learn the data skills you need online at your own pace—from non-coding essentials to data science and machine learning.