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Questions tagged [acf-pacf]

The AutoCorrelation Function and Partial AutoCorrelation Function pertain to the correlation of a time series with itself at different lags. They are used to detect non-independence & suggest p, d, q terms in the Box-Jenkins approach to ARIMA modeling.

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Interpretation of time series ACF function

What can be told about a time series using this ACF plot? I think it isn't stationary. Do you see here something else?
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How to tell if a process is stationary from a plot of its ACF?

Are there any rules of thumb to quickly tell if a process is stationary by looking at an ACF plot? For example, is the process below stationary or non-stationary? Why?
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Time Series: ACF and PACF plot, how to tell what's the best model by looking at the plot?

The question ask me "The equation of the model you think is most appropriate, given the plots. Justify your choice of model. " the ACF plot looks like cut off after the first lag. And I'm not too sure ...
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acf and pacf suggests MA but auto.arima gave AR

I have this data which is residual series obtained from predicted values and observations. original series was a random walk with a very small drift(mean=0.0025). ...
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How to interpret following ACF and PACF plots of weekly series data

PACF plot My data gave me following ACF and PACF plots. How should I interpret them?
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Fitting an ARIMA Model to Seasonal Data [duplicate]

I am trying to attain an ARIMA model for the following Time Series Data: There is quite obviously a seasonal component - as the plot seems to oscillate between smaller and larger peaks, its seems to ...
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How to interpret these acf and pacf plots?

I don't know which model to fit to these ACF and PACF. Is it an AR(3) or something else?
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42 views

Significant lags at ACF and PACF plots in GLM: what should I do?

A glm.nb model I built shows significant lags at lag 1 in both ACF and PACF plots. Please see the images below. There is no way to define random effects (or ...
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What model to fit given ACF and PACF (seasonal data)

I have highly seasonal data, (it's energy consumption) with mostly 24 hour and 168 hour (=1 week) periods and I have applied differencing by 168 hours (...
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Time Series: Confused about identification of (possibly?) an ARMA(p,q) model

this is my first ever question on a website i use frequently! This time series has given me much trouble over the last couple of days even after extensive googling, I suppose with TS theres no two ...
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AR and MA signatures in these autocorrelation and partial autocorrelation plots?

These are the ACF and PACF plots of a time series (daily aggregates/counts). The first plot is un-differenced and the second plot is after a seasonal difference of 7 days. My take looking at the ...
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Elastic net chooses lags beyond ACF cutoff

I've been using Elastic net for time series forecasting. I’m using first difference of the series. Normally I use the ACF to determine the number of lags to use. I was curious, if I would produce more ...
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What do my first difference ACF/PACF show me? [closed]

I am quite new to econometrics, so not sure how to intepret the following acf/pacf function on log financial time series after first differencing; The level data showed a AR(1) process, how would I ...
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The seasonality was observed in STL decomposition, but not in the ACF-PACF, [duplicate]

These are the monthly plot produced by eviews. Why is the discrepancy happened? Also the X-12 says identifiable seasonality is not present using F test for seasonality. Can I say that the seasonality ...
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ACF-PACF could be the diagnostic model of seasonality?

If seasonality is not shown in the acf-pacf plot, can I conclude that the seasonality does not exist? Or Can I say that the seasonality exists based on the monthly incidence data although there is no ...
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If the ACF of a time series is within the 95% bounds, is it white noise?

I have a detrended series where the ACF and PACF has lags all within the 95% confidence bounds. This would suggest the series is a White Noise. However, fitting it to an ARMA model (in R) gives the ...
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How many differences does it need based on these diagram?

These are the monthly time series ACF PACF plot of the incidence of the disease. Would you recommand the possible (p d q) (P D Q)12 estimates? I have tried many models but can’t decide the model.
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How many differences does it need in this correlogram of the unstationary data

I added different kinds of differencing plot and I tried many models based on these. These monthly datas are the incidence rate of the disease. But still can’t find out the appropriate seasonal arima ...
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differencing in sARIMA models

Im currently trying to fit unemployment data to a sARIMA model. Unemployment has usual yearly seasonal trends so a seasonal difference is given. Log transformation is applied to minimize the errors ...
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Problematic ACF Graph in ARIMA modelling

Hi I am working on a data representing daily sales of a product. I have five years of data and I need to forecast daily sales for next 30 days. As I have daily data I created my ts series as noted ...
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Analyse my ACF and PACF

I am new to time series analysis, I tried first to decompose my data using the decompose function in R, hoping I'd get a stationary data in the random obtained. I'm planning to fit an ARIMA model to ...
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Why is the ACF diagram showing seasonal patterns when they should have been removed by `decompose`?

I'm reading the book Introductory Time Series with R where the following code is given: ...
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is it possible to get a “Cuts off” pattern in both ACF and PACF?

I understand how these patterns look in the ACF and PACF but i don't understand why (according to the literature) there cannot be a "cuts off" pattern in both ACF and PACF
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SARIMA residual analysis question

I am new to ARIMA and here I have a question about residual analysis. My data is seasonal ARIMA data, and after fitting a non-seasonal difference and a seasonal difference to my data, I get the ...
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Interpretation of AR, MA, ARIMA models

In literature have read, that model: AR=> acf damped exponents and/or damped sine wave. pacf rare outputs beyond the confidence interval. The number of outputs per confidence interval in pacf ...
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SARIMA- determine order of difference

I have a question about seasonal ARIMA model to determine when to use seasonal difference only or use difference of seasonal difference. For example, I have some data that have both trend and seasonal ...
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What to do when ACF and PACF plots of the residuals show significant lags?

I have a binomial glm modelling a proportional RV against a categorical predictor. The formula looks like this ...
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37 views

Enough for arima ACF without PACF

I try to create it myself in ARIMA code. I managed to create ACF. With PACF everything is much more complicated(working with matrices). Can I do without PACF using ACF? Or maybe who knows an easier ...
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Returns correlated, but squared returns not correlated [closed]

I'm trying to apply a GARCH model to a financial time series, and as usual I plotted the ACF and PACF of both returns and squared returns. In my time series the returns show serial correlation, but ...
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Determine paramaters for SARIMA model

I have the following timeseries with a frequency of 12 (months). Since there is both a trend and seasonality, I differenced the timeseries. To determine the parameters p, q, P and Q for the SARIMA(p, ...
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Choosing daily seasonal ARIMA model order vs. auto.arima

I have the following output_ts that looks like this: When I run unit root tests, I receive the following output seeming to indicate that my series is trend ...
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ACF and PACF of residuals to determine ARIMA model

I'm having trouble interpreting an ACF/PACF plot of the residuals of a regression to determine what the corresponding ARIMA model would be for the error term. This is the plot of the ACF/PACF of the ...
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Contradictory Ljung Box results

We want to apply extreme value theory to the maximum yearly temperatures. Before we choose the model we want to test whether or not we can assume independence. First we made a plot of the ...
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What do very high PACF values (>10) mean?

I understand that PACF values are not supposed to exceed +/- 1. However a few data points show PACF values like 30 or 15. What do these values mean? Should I remove them from the dataset? And if I do, ...
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Projection in AR model

I am currently reading the Brookwell and Davis Book and cuurently read about the PACF. On page 98 they derive the PACF for the AR(1) model $$ X(t)=0.9X(t-1)+Z(t) $$ and say that the orthogonal ...
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Is there stationarity?

I'm trying to analyze a financial time series, these are the ACF and PACF returns graph. What could I say? Lag–9 and lag–15 are significant? I would say they are not, and there is not weak ...
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How to obtain the 1D radial correlation function from the 2D ACF

The two-point correlation function Z2 is defined as the probability that two points separated by a distance r will both lie in ...
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Time series analysis:How to plot the the following AR(1) graphs?

The equation for AR(1) is : Cases: This is what it looks like: So I came up with this code: ...
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Is ACF plot enough to rule out auto-correlation in my model?

Do you think it's enough to check ACF plot to rule out possibility of auto-correlation in the data?
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ARIMA R vs Minitab [closed]

A simple question: Is the algorithm for calculating the fits using the Arima function of the forecast package of R different ...
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What can we predict from the follow ACF and PACF plots?

This is a time series of a wind speed data collected every hour for a month. What can you interpret from the ACF and PACF plots about the trends and seasonal components? Are there any? And which model ...
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What to do if time series are non-stationary? [closed]

Data: I have a time series data of 2528 daily observations for OMXS.30 (Stokholm) closing price. The aim is to fit proper ARCH/GARCH models and use for forecast daily Value at Risk. Here is a plot of ...
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Questions about ARIMA

I am estimating this model: But I want to do some analysis of the variables before. In particular, I am interested in fitting some ARIMA models. First, I am doing it for the inflation rate in Mexico. ...
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253 views

Decomposition of seasonal time series interpretation

I have the below stl() (with s.window="periodic") decomposition plot of a time series which I would like to analyse and model. ...
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54 views

Determine AR term from PACF plot

I have the a time series data, the acf and pacf for which have been displayed below: I get that MA term is 1. But I'm confused about AR term since it is geometrically decaying from 7th lag. Do I need ...
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How to decide the order of ARIMA model based on the plots I have?

Both the plots show very poor results for lags. Am I missing something in terms of transformation to get proper results?
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51 views

Need help understanding output of a periodogram

In my effort to understand the output of a periodogram I created a series (s) where 1,1,1,1,1,1,1,1,1,10 is repeated 100 times and then created a periodogram of this series using the following R code: ...
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267 views

How to interpret autocorrelation plot?

I'm having trouble making sense out of this ACF plot According to an ADF test, the series is definitely stationary. Also, the presence of autocorrelation is explained by the order 1 lag, as evidenced ...
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ACF and PACF seems to be pointing to two different processes

I have the following ACF and PACF plots for a time series. I'm very new to time series so I might be interpreting this wrong, but it seems like the ACF is indicating an MA(1) process because it tails ...
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ACF and PACF interpretation

Click for ACF image 2 These are my ACF and PACF of my data set . Can any one help me determine whether the data is stationary ? if so What order of AR , MA ?