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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1answer
11 views

Interpretation of the ACF of standardised residuals vs actual residuals

Is there any scientific reason why a lot of studies and packages choose the ACF plot of the standardised residuals rather than the residuals themselves?
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27 views

How do I interpret my ACF & PACF plots?

I am not very good at Time Series, so I have a few questions about my ACF & PACF plots. I have read through similar questions on stack exchange and other websites, but their graphs look different. ...
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13 views

ACF or PACF decaying up to lag 50 or more, how to interpret?

A few times I saw ACFs or PACFs of lag around 50, and it was decaying. But all the 50 were significantly different from 0. Can I conclude it shall be an AR(50) or MA(50) model? Or what is the ...
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8 views

Why author is using ACF for AR?

I have seen in multiple videos and sites like here that we shall use PACF to infer the n of an AR(n) model; and we shall use ACF for the MA models. It slowly started to make sense until I saw: (the ...
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25 views

Why we do acf on residuals?

In the book "Time series analysis" by Shumway. He is doing fit = lm(chicken~time(chicken), na.action=NULL) acf(resid(fit), 48, main="detrended") What is the ...
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45 views

Autocorrelation of an AR(1) process

I am learning about this AR process. According to the book I'm reading, the autocorrelatio function of a stationary process: $$y_t = c + \phi y_{t-1} + \varepsilon_t, \quad \quad |\phi|< 1$$ is ...
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25 views

Inconsistent Ljung-Box test result and plot of autocorrelation function of residuals

I get an inconsistent result for the Ljung-Box test: in fact when I run it using the Box.test function it doesn't make me reject the null hypothesis of residuals being white noise, but when I plot the ...
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23 views

Estimate of an AR model

I have this part of a project which states this: Once you choose the best three models for each series (according to AIC, the PACF and ACF, and "from general to specific), the next step is to estimate ...
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ACF before and after filtering seasonality

I'm looking for some help in navigating some results from my time series analysis. I've got 2 minute traffic speed data for a particular road segment and I'm looking to model this time series. Based ...
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32 views

What is the correct model (AR, MA, or ARMA) and order for the data?

I am new to time series and forecasting and I have been assigned to determine the model and order for a data object. The ACF, PACF, and EACF are below: I was thinking it was an AR(1), but I am not ...
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69 views

Chosing the right time series model

Can someone help me to find the right time series model. I am not able to figure out the right hyper parameters for the model. Please see attached ACF and PACF graphs. I can provide more information ...
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26 views

Box-Jenkins Methodology and ARMA order questions

Beginner stats user here. I hope I'm in the right place. I'm working on estimating the proper order of an ARMA Model to use according to Box-Jenkins methodology. 1)In the first steps of ...
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20 views

time series model with low pacf

I have data on annual temperatures covering 21 years, measured at one single loaction. I want to build a regressive model to find out whether there was a significant warming during that time span. I ...
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Uniform Convergence of Partial Autocorrelation

I've been facing the problem of estimating a large PACF as the sample size grows. My question is whether we can guarantee that the partial autocorrelation, estimated by the projection $X_t = \sum_{...
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30 views

Why do adding ARMA noise have no effect on ACF and PACF?

I do an interrupted time series analysis and try to add an ARMA process using gls() function, but it seems like it has no or little effect. Why does it look like there still is autocorrelation?? I ...
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35 views

Why MA model order is from acf but not pacf

For MA model in Arima, why the order references acf, but not pacf? The emphasize is why not PACF. In https://towardsdatascience.com/significance-of-acf-and-pacf-plots-in-time-series-analysis-...
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Intuitive explanation of using ACF to determine the order of MA in time series

It is intuitive to know why we can only use PACF to determine the order of AR - since ACF will show good correlations even for the lags which are far in the past, as it also cater for indirect effects ...
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ACF vs PACF in ARIMA

Given a time series problem, Should ACF and PACF be done before or after differencing that make the time series stationary? If ACF and PACF has shown different results, should the number of orders ...
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Find pacf from autocovariance values

From the data given below, find estimated pacfs. $$\begin{array}{c|c|} \text{lag} & \gamma_{k} \\ \hline 1 & 0.84 \\ \hline 2& 0.73 \\ \hline 3&0.61\\ \hline 4&0.54 \\ \hline 5&...
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135 views

Is my Data stationary? KPSS, ADF Tests and ACF

I already differenced my Data by 1 and i am not sure whether my Data is now stationary or not. I perfomed an KPSS and ADF test in order to help me decide if it is. I think it is stationary but im not ...
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1answer
74 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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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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28 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
69 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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2answers
73 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
79 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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2answers
140 views

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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650 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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1answer
94 views

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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24 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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59 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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60 views

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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1answer
52 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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26 views

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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38 views

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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50 views

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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67 views

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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34 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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74 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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2answers
279 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
110 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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139 views

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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2answers
114 views

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
95 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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34 views

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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1answer
42 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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3answers
66 views

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 ...