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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34 views

High peaks at same fixed lag in both acf and pacf of residuals of model from auto.arima and tbats output. Really stuck with this one

I have data for every 15 mins for 4 years. ADF test shows that my data is stationary. I tried fitting model using auto.arima and seasonal=F,and I get the output as ARIMA(3,1,2) but the residual acf ...
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19 views

Suggest a model from ACF and PACF values

Considera sample of 50 observations from a stationary process with $$\begin{array}{c|c|c|} \text{lag} & \text{acf} & \text{pacf} \\ \hline 1 & 0.9 & 0.9 \\ \hline 2& 0.85 &...
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Confusion about PACF in time series analysis

My confusion is how can we subtract the future value x(t-1) from the past value x(t-2), I think this implicitly means that the future value will affect the past value which I think is impossible? ...
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23 views

Example where ACF depends on more than the lag

In a weakly stationary time series, the ACF $\gamma(s, t)$ depends on $s$ and $t$ only through their difference $|s-t|$. I am familiar with cases such as moving average series where there's nonzero ...
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CCF patterns intuition

I am studying pre whitening and cross correlation functions. I read somewhere... I forgot where, that there are patterns which tell you which lags of each variable to take. In this image, lags of X ...
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1answer
44 views

How to interpret straight line as forecasting

I would like to make some short term forecasting using an AR(I)MA model. having the following daily time series, which is for the raw data: It seems to be like a white noise, based on the acf and ...
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43 views

ACF doesnot decay though it has passed ADF stationarity test

I am working on a time series with around 2500 data points. I have used the ADF test to check for the stationarity of the series, the series passed the test and results are shown below But when I ...
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1answer
76 views

Estimating parameters in ARIMA

Without using auto.arima, what are the ways we can figure out what parameters we should use for modeling a time series data ? From the reference text here, it is mentioned that we cannot use ...
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Seasonality after 1st differencing

I am working with a financial time series (monthly frequency) and the raw data is not stationary according to ADF, KPSS. I then apply deflation (accounting for inflation), log transformation (to make ...
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115 views

How to determine $p$ and $q$ in my ARIMA model from these ACF and PACF plots?

I have converted stock price index time series data into stationary series by differencing once, so $d=1$. I also have removed the seasonal component of the data. I want to develop a model for ...
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SARIMA Model Identification

So I am currently having trouble trying to come up with an initial model for this data. I am trying to model 10 years of monthly CO2 levels at Mauna Loa. CSV file: https://www.dropbox.com/s/...
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19 views

Understanding partial autocorrelation (PACF) and variability

A strong positive partial autocorrelation of lag 1 means that an observation is highly correlated with its previous observation whereas a near zero PACF indicates no correlation. Does that mean that ...
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45 views

auto-correlation of squared residuals after fitting GARCH model

Hell, I'm completely new to R and am not experienced in statistics but I got some stock price data and tried to fit an ARIMA+GARCH model. I'm a little confused because as the title suggests, I looked ...
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How do I read an auto-correlation plot?

I'm taking a data camp lesson by Professor Rob J Hyndman. He went over the ACF plot and said that you know the period of seasonality based on the highest point in ...
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44 views

Could someone explain these ACF and PACF plots for what I think is a lag1 series?

I am trying to get my head around simple time series analysis. I think this R code shows my confusion. ...
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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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1answer
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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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22 views

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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67 views

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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226 views

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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1answer
70 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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1answer
75 views

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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33 views

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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43 views

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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21 views

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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1answer
102 views

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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102 views

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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66 views

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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38 views

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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39 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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45 views

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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1answer
62 views

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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138 views

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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2answers
2k views

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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1answer
68 views

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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122 views

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 ...