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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How to interpret those ACF & PACF?
I have some problems when analyzing my time series dataset.
Basically, the dataset is about the daily sales volume of an FMCG company (they work from Monday to Saturday with Sunday being a day off, so ...
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How to intepret ACF and PACF plots? I'm trying SARIMA MODEL
I tried to put p=5 and q=7 but it's not working.
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ARIMA flattens out on one order and works perfect on another
I am implementing an ARIMA model on a time series data. I have confirmed that the data is stationary with the adfuller test. I plotted my ACF and PACF graph as below with a lag of 40.
Here, I see the ...
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Time series ACF PACF vs SARIMA results
My SARIMA gives the following result but my acf and pacf plot shows a different story. Is it because of heteroskadiscity of the model also my model has a seasonality of 365 days how do I handle it?
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How to interpret autocorrelation charts?
Provided the following examples of data, p-value and autocorrelation charts:
How are we supposed to interpret the charts on the rightmost column? Just by looking at these charts, what can we say ...
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Different PACF plots with different statistical software
I was attempting to replicate the results of a paper and ran PACF plots through R Studio, Stata, and EVIEWS for the UK debt-to-GDP ratio. I received quite different plots in return. Can anyone shed ...
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Interpretation of ACF plot of a Hidden Markov Model
I am trying to interpret the ACF plot of a 3 state HMM model but as it is my first time dealing with any kind of HMM it is causing a lot of trouble. I have also had a hard time finding a ressource on ...
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Interpretation of ACF and PACF functions
ADF testing showed that the series are I(1) stationary. After taking a first difference, the ACF and PACF looks the following way, which is nothing I have came across in the literature, where mostly ...
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How to calculate the PACF of a time series using provided regressions?
I have been provided a table of regressions of an AR(1) model and asked to calculate the PACF. I know that the PACF is the additional information about the process y_t accounting for the previous lags....
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How can I interpret this ACF PACF?
Data I am using is Relative Humidity from 2004-01-01 to 2022-12-01 (day is always 01 as it is a monthly average). I established a linear regression model to find a trend.
Used the residuals and ...
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arima model for time series prediction based on the given acf and pacf plots
I have just started learning fitting arima model for time series. So I am not very sure what AR and MA order I should use. May I know what are some possible arima models for the following ACF and PACF ...
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How to test for statistical independence on non-stationary time series?
I have multiple time series on which I want to identify statistically significant (if any) trends.
To that end, I started by conducting the Augmented Dickey Fuller (ADF) test to identify which series ...
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How many lags to include? (Temperature data set)
I have a time series of daily temperature with autocorrelation that looks like this:
Of course, temperature is heavily autocorrelated. When looking at the partial autocorrelation plot, lags are ...
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Based on the ACF and PACF, identify the most appropriate ARIMA(p,d,q) model for the residuals and and explain your reasoning
The number of significant terms in ACF = 17
The number of significant terms in PACF = 8
We are going to use AR in this model since PACF is less than ACF. AR is 8 and MA is 17. Since we only took the ...
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ACF and PACF vs Ljung Box test
I have a time series with realized sales prices on monthly basis in a large European city which comes as an index and I would like to do 1 period ahead forecasting.
I have run ADF and KPSS for unit ...
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ACF and PACF graphs - MA, AR, ARMA, ARIMA?
The data are for areas.
How would I interpret these ACF and PACF graphs, and what model could I use?
To me, this is a non-stationary series and therefore an ARIMA would be suitable, but I don't know ...
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interpret acf plot
I am trying to interpret my results from decomposing my time series and the acf/pacf plot. The adf test gave a p-value less than 0.05 so is it ok to assume that my time series is stationary with no ...
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What do you do when the lags in ACF are on the edge of significance? How would you descibe this ACF and PACF plot?
I have caluclated the first differences of a process and now created an ACF and PACF plot and I honestly don't know how to interpret it. I thought that it is an AR(1) process but I see some ...
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how to identify stationarity of a series by interpreting acf and pacf graphics
I've been told that these following acf graphics basically shows that both series are stationary, but i didn't really understand why.
Is it if both autocorrelation and partial autocorrelation can ...
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Convert ARMA(p,q) to MA$(\infty)$ and find ACF
$Xt-0.4X_t+0.03X_{t-2}=Zt-0.4Z_{t-1}$
This process is causal and invertible.
For the $MA(\infty)$ representation, I wrote it as $X_t=\frac{1-0.4B}{1-0.4B+0.03B^2}Z_t$,
where $\psi(B)=\frac{1-0.4B}{1-0....
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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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ACF and PACF graph interpretation problems
i am plotting here the graphs of the autocorrelation plot of my data done with python prior and after making the differentiation
I do not understand the two trends of the paths after differencing ...
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ACF lags of SARMA(A,B)x(a,b)_s (Seasonal ARMA model)
When we need to calculate the ACF of a SARMA model, is there any shortcut about lags that can help us derive the ACF? For example if we have a SARMA(1,1)x(1,0)_6 model, to find γ(0) to calculate the ...
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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 ...
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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_{(...
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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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How to choose model parameters based on ACF and PACF in SARIMA model?
I have some monthly data which show the number of visitors to a country whose plot is given below
Since there seems a non-constant variance, I took the log, which stabilized the variance.
To remove ...
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How to calculate ACF from PACF?
I have tried to search a lot on Google but could not find any information regarding the relationship between ACF and PACF.
Say I have PACF at lag 1, 2, and 3. How could I calculate the ACF for lag 1, ...
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Autocovariance of ARMA-GARCH vs. that of pure ARMA
Is the autocovariance of an ARMA-GARCH process the same as that of the ARMA part of that process?
If this is too difficult/cumbersome to show, analysis of a special case like MA(1)-GARCH(1,1) or AR(1)-...
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What is the autocovariance of a GARCH process with a constant mean?
What is the autocovariance of a GARCH process with a constant mean?
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How to specify a model from these three plots?
what kind of process is this? how can i see just from these graphs what kind of process this is? AR? MA? ARMA? ARIMA?
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interpretation autocorrelation and partial autocorrelation plot
For a project I need to use the SARIMA model. I have read that before I train the model I need to perform a Dickey Fuller test to confirm that the data is stationary and I also read that I should plot ...
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My ACF and PACF functions do not show decay or zero. However they are supposed to indicate an ARMA model. What am I doing wrong?
The data I am provided with is monthly CPI. I have plotted a logarithm of this variable and then made a difference to obtain inflation.
As I plot the graph for inflation I can see that it is ...
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How to interpret ACF and PCAF graph
I want to predict the future data given the time series data with SARIMA model.
In order to determine (p, d, q) and (P, D, Q, m), I plotted the ACF and PACF.
The ACF graph shows that there is a ...
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How does the GARCH part affect the ACF/PACF of an ARMA-GARCH process?
I need some help with fitting an ARMA-GARCH model.
I'm analyzing a daily time series. I don't understand how the order of the GARCH impacts ACF or PACF plots. I mean: what is the difference I should ...
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I can't find an adequate conditional model for this time series
I have the European TTF GAS spot Price time series from 31/12/1990 to 31/10/2022:
https://docs.google.com/spreadsheets/d/1Iu84-oFtv3-ybmp72IJ_s1DfcTG_TDu7/edit?usp=sharing&ouid=...
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I need help finding out the p,d,q values for arima model using the acf and pacf
The acf and pacf of this data look like this.
After first differencing, the acf and pacf look like this. Does this mean that arima cannot be used to model the data, or should I do further differences?...
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Selecting a suitable value for lags to include in time series forecast model
I'm looking for some direction on the use of lag values in a time series forecasting model (XG Boost)
I have a dataset with 7 time series and I'm confused as to how to select a general lag value that ...
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How to interpret an ACF and PACF together?
I am using for the first time the tools of autocorrelation and partial autocorrelation and I am facing some difficulties regarding the interpretation of the results. (Maybe I misunderstood what ...
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How to interpret ACF and PACF in time series?
In this following monthly sales time series, how can I interpret ACF and PACF?
STL Decomposition
ACF:
PACF:
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What exactly are you plotting for each lag value when calculating the correlations for a PACF?
I understand this for an ACF plot. You are plotting $x_t$ vs $x_{t-1}$ and then calculating $r$. This gives the point $(1, r_1)$. Repeat for lag 2: plotting $x_t$ vs $x_{t-2}$ and then calculating $...
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How to interpret an ACF plot of residuals time series?
I have a daily time series starting (01/11/2022) and ending (30/06/2022).
I'm trying to make a model of my time series.
First, I made:
...
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Non-stationary time-series on visual analysis passes all Stationarity tests?
I have a time-series data (Fig 1) that clearly look non-stationary on visual analysis.
There is a clear trend and seasonality in the time series as shown in the Final figure below.
But the ADF test ...
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SARIMA initial identification of parameters
I am trying to fit a time series with SARIMA models, where the seasonal period is 7. The figure shows the series after applying a logarithmic transformation and differentiating it for the regular (d=1)...
