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I am trying to programmatically identify an ARIMA model for a series of data and forecast values.

Currently the problem i am facing is to find a way to evaluate partial autocorrelation. I have been looking for methods to calculate PACF for quite a long time now but in vain.

Please provide some online resources which can help me in this matter.

Thank you.

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2 Answers

up vote 3 down vote accepted

Use the Durbin-Levinson algorithm. It will be explained in any good time series book such as Brockwell and Davis. Here are some online explanations:

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You may also be interested in the 'auto.arima' function in the forecast package for r as an example of a way to programmatically identify ARIMA models. It probably doesn't find the model in the exact same way you would, but some of the code/ideas might be useful to you.

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