# 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 find the right parameters for the SARIMA model?

Here is the ACF and PACF graphs for differentiated series: From the ACF graph it looks like AR() model is more suitable, because the lags are decreasing exponentially and they show that the series ...
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### I am carrying out Co2 forecasting (annual data) using ARIMA and SARIMA. How to interpret ACF and PACF plots ? (what about p,d,q) ? ARPicture attached

ACF and PACF Plots. These are generated when i have already differenced and applied log to time series. Observations total are 50 (yearly) values from EDGAR
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### Creating Candidate Models for Forecasting using ACF and PACF

(Using R) I'm trying to find candidate models for forecasting, and I'm a bit confused. I used the auto.arima function on R to find the best fit model, which resulted with (i)SARIMA(1,0,3)(0,0,2). ...
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### Identifying $ARIMA(p,d,q)\times(P,D,Q)s$ process

I have a series of monthly data (top left) differenced (12) with lag = 1 (bottom left) with the following ACF (top right) and PACF (bottom right): And I'm trying to fit an $ARIMA(p,d,q)\times(P,D,Q)s$...
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### Time Series in SAS getting contradiction?

The 2td graph shows auto-correlation function has significantly zero value after 10-ish but the table which checks nullity correlation says it has auto-correlation not-equal to 0 for lag=24 unlike to ...
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### How to detect or guess the parameters for SARIMA(p,d,q,P,D,Q) model from the acf and pacf graphs for the time series?

I have data ranging from years 1995 - 2020. The data is further divided into quarters of the year. The time series look like this: It can be seen that there is an upward trend as well as seasonal one....
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### How to determine the lag.max length for daily (10 years) data stock prices data set in R

I have 20 years of daily data set for some stock prices. I would like to investigate the autocorrelation for this using acf plot and ...
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### Why does ACF of stationary time series drop to 0 quickly?

A 'weakly stationary' time series has the property that the autocorrelation is only dependent on the lag and its structure does not change over time apart from the properties of constant mean and ...
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### How to automate eacf in time series?

I am working on time series, my goal is to automated predictions so automate the model. For that I need to make a script where the AR and MA order are chosen automatically. But for the eacf I need to ...
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### Should we square return to calculate ACF and PACF?

In sources such as this one, someone would square the data before calculating ACF and PACF. However, it is not universally done. So should we square the time series data before calculating ACF and ...
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### How to interpret ACF and PACF and how to pre-process data

I have these data, related to value of pH over time: I want to generate a stochastic model (ARMA, ARMAX, and so on), and I want to decide the order of this model, so I did the plots of ACF and PACF, ...
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### Parameter estimation of ARIMA model with exogenous variables (ARIMAX)

I am trying to compare an ARIMA model based on the price of a cryptocurrency without exogenous variables to one which adds in the number of tweets about the crypto in the same period as an exogenous ...
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### I have this autocorrelation in my GLMM binomial model. Is it acceptable? If not, how can I correct it?

Autocorrelation chart (ACF) of a binomial GLMM (bernoulli distribution, N=1)
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### How to select ARIMA model with cyclic ACF?

My annual time series has following ACF/PACF structure. Based on what ARIMA model should be selected here? Exponential decreasing of ACF --> AR(4) probably? Or because of periodical ACF maybe SMA? ...
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### Orders of AR and MA models

I have a couple of ACFs and PACFs and cant seem to be sure about the order of AR(p) and MA(q).Can anybody kindly give me an insight into how to detect that?
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### How to find the order for ARMA model?

I have a problem finding the order with the ACF and PACF plot, below is it. First I think they can be considered as tails off gradually because they are abnormal, then I set AR(1) from PACF and MA(1) ...
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### How to interpret acf and pacf plots after second seasonal differencing?

Image above is the visualization of my datasets Image above is the acf after second seasonal differencing Image above is the pacf after second seasonal differencing Hi, I have difficulty in ...
1answer
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### What does it mean to have only lag significance on certain multiples of 7

I have a dataset named covid and after creating an acf graph of it , it looks something like this Why is it that it is only showing lag significance on lags which are multiples of 7 only , dose it ...
1answer
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### AR model notation for non-consecutive PACF values?

I am fairly new to time series analysis, and I was learning from this tutorial on AR. The process's PACF has non-zero values at lag t-1, ...
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### Why ACF and PACF look similar for a timeseries with fixed seasonality

I have a daily timeseries of length 1797 days with binary values where value is 1 approx. every 1 month, else it's 0. Please see the plot below of original timeseries and ...
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### How to build AR model by acf and pacf

I want to do an estimation by "garchFit" function in R. In the lecture, we are told that we can first plot acf and pacf and decide which formula in "garchFit" function we will use. ...
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### Interpretation of ACF and PACF plots

I have obtained these plots for my residuals, I used type = "pearson" as I am working with poisson distributed response data recorded yearly. Looking at ...
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### i am trying to find an AR(2) process where periodic ACF has period 9

i have to generate a pseudo cyclic time series with period = 9. no other initial conditions have been given. Xt = a1Xt-1 + a2Xt-2 + Wt ACF = 1 = a1ACF + a2ACF For AR(2), ACF = a1/(1-a2) ...
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### Interpreting unusual ACF and PACF plots

I was wondering if someone could help me to interpret these plots in terms of constructing an ARIMA model, as I am new to this and they don't make much sense to me.
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### Impact of ACF and PACF plots on p,q,d in ARIMA and interpretation of these plots in Python?

I have these two plots: ACF, PACF and my question is: what is an interpretations of these plots and by looking on this plots what values of parameters p, q ,d should I choose for my ARIMA model ?
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### Autocorrelation in Poisson model's residuals - Is my model not specified correctly?

I am fitting a poisson regression model in R to count time series data to perform an Interrupted Time Series Analysis, the aim of my analysis is to see if an intervention affected the counts. I am ...
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### ARIMA PACF plot interpretation

I have this dataset about voters in a country There is a clear trend therefore I differentiate the data once to achieve a stationary data The resulting acf and pacf plots are below Based on my ...
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### Interpreting ACF and Partial ACF Plots in R

I have a time series with the following ACF and Partial ACF plots; however, I am a little confused on how to interpret these. I called the following commends: ...
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### Determining p and q parameters of ARIMA from ACF and PACF plots

I have three time series that I have differenced with the order of 1 to achieve stationarity. Based on these ACF and PACF plots, what would be the values of p and q in the ARIMA model for each time ...
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### What does lag information from MCMC autocorrelation plot tell me about periodicity?

I have a time series that I suspect exhibits a periodicity of 7 (i.e. the data represents sales per day, and I believe day of week is important). I created an autocorrelation plot of this time series, ...
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### ACF and PACF plots - MA, AR, ARIMA, or neither?

I differenced the variable (univariate model) in question because it was not stationary. I ran the dickey-fuller unit root test to check for stationarity, and it looks like the differenced version is ...
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### Why there are differences between manual calculation and R calculation for ACF and PACF?

In ACF and PACF Formula post, @Antoni Parellada's gives manual calculation on ACF and PACF. Full code can be found here. But why manual calculation is different form R calculation? what are the ...
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### How to find fitting ARMA-GARCH model? Financial data

I'm using financial data - logarithmic rates of return of WIG-Banks index, 2000 observations. I'm supposed to find ARMA-GARCH type of model, the most fitting one. Relying on ACF and PACF i estimated ...
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### What are the values for p, d, q in ARIMA and why?

Actually I would like to use the pmd_arimabut I cannot install this library on my working PC. Now, I am wondering how to interprete AR and PAR plots correctly. I ...
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### MA model or ARIMA model?

Anyone can give some suggestions to decide which model should i use for this time series forecast? It seems it is MA(1) by checking two plots? OR i can also try ARIMA model to compare each other? The ...
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### AR coefficients are not stationary error

I have a timeseries data and I want to forecast it by applying ARIMA. After reading data, I decomposed it to analyze its components and get an idea whether it is stationary or not. It seems there is ...
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### Propose a model for this time series

I'm analyzing the time series DAX (I call Z) from the dataset EuStockMarket. Could you ...
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### Use of ACF and PACF

I am new to time series analysis, I have come across ACF and PACF while working on time series data set. There is a confusion, in some links/texts ACF and PACF is plotted without taking difference i.e....