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Results tagged with acf-pacf
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user 283651
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 calculate the ACF and PACF for time series
Well if you mean how to estimate the ACF and PACF, here is how it's done:
1. ACF:
In practice, a simple procedure is:
Estimate the sample mean:
$$\bar{y} = \frac{\sum_{t=1}^{T} y_t}{T}$$
Calculate th …
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