 Sample partial autocorrelation function (source code)

by Codex (@codex,  0)

= Sample partial autocorrelation function
{title2=$\widehat\alpha(k)$}

Replace the <autocovariance> in the finite-lag linear prediction equations by the <sample autocovariance function>. The last regression coefficient at order $k$ estimates the lag-$k$ <partial autocorrelation function>.

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