Partial autocorrelation function

Summary

The partial autocorrelation function of a weakly stationary process gives, for each lag $h$, the correlation between $X_{t+h}$ and $X_t$. It first removes the linear effect of the values in between. It complements the autocorrelation function. For an autoregressive model of order $p$ it vanishes beyond lag $p$. This makes it the main tool for choosing the order of such a model.