# 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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### Stationary Check (ADF, KPSS and ACF PACF Plot) for SARIMAX model

I'm still confused about whether my data is stationary in terms of variance and mean or not, because based on the ADF test and KPSS test the data already shows stationary (because it rejects H0) but ...
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### How Can One Test for Significance of a Particular Lag of Coefficient of ACF and PACF of Time Series Data Using R

I have this time series data presented in the R code below, I want to test for the significance of the first and second lag of auto-correlation and partial auto-...
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### Understanding ACF and PACF plots for model selection for AR(1) vs AR(2)

Good afternoon all, I've got a model that models a time series and I am trying to decide which how the residuals are correlated. The first model, called $m1$ is models $AR(1)$ residuals and the second ...
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### Modelling temperature: seasonality, stationarity, differencing

I have temperature-related time daily time series. I plot the time series and found that the plot have seasonal variations. Thus I differenced the series. When I did Dickey-Fuller test for both ...
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### Differenced data still showing seasonal pattern in ACF Plot

I was given an oil time series dataset (quarterly). I was trying to build an ARIMA Model in Stata. There is trend and seasonality in the data I am trying to plot acf and pacf plot to determine the ...
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### Autocorrelation function of AR(1)-GARCH(1,1) [duplicate]

How can I derive the Autocorrelation function of AR(1)-GARCH(1,1) process which is the combination of AR(1) with GARCH(1,1) process?
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### Interpreting ACF and Partial ACF Plots with Python

I have time series data which is measured in each 5 second. I am trying to forecast the data. But, ACF and PACF results are seems to different than other plot that I have seen. I am using statsmodels ...
1 vote
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### ACF/PACF of my residuals from the cointegration model shows a perfect 1-lag autocorrelation?

I'm performing a cointegration test + OLS regression on 2 assets' prices. If I check the correlogram of the model residuals (training set, but also happens with the test set residuals) it looks like ...
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### Seasonality from ACF

I'm trying to determine whether there is seasonality in some data or not. When I apply the ACF the data doesn't seem to be correlated but, with a 1st order diff, there might be with a lag of 7. Since ...
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### Partial auto-correlation function (PACF)

I wonder how to calculate the partial auto-correlation function of the AR(2) process $Y_t = 0.2 Y_{t−2} + \varepsilon,$ where $\varepsilon_t ∼ \text{N}(0, \sigma^2)$? I found ACF as \$\rho_h=0.8\rho_{(...
1 vote
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### Partial autocorrelation significant at regular lag distance

I am trying to forecast inflation with a simple AR model. I took the natural logarithm of the CPI and subtracted the 12th lag, thus obtaining a measure of inflation. The PACF is significant at the ...
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