Autocorrelations vs Partial Autocorrelations
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1. Context
In this short video from FRM Part 1, we go deeper into the concept of Partial Autocorrelations – explore what they mean, how they’re different from autocorrelations and how they’re estimated. This video stretches the scope of the assigned reading a bit, to clarify the concept of partial autocorrelations. in that sense, this video is optional, and purely serves as an addendum to the FRM Exam Part I online course. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis |
| Reading | Characterizing Cycles |
| Reference | Kevin Dowd, Chapter 7. Characterizing Cycles In Elements of Forecasting, 4th Edition, (West Sussex, England: John Wiley & Sons, 2005). |