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Results tagged with acf-pacf
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user 3382
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 decide the order of ARIMA model based on the plots I have?
before receipt of your actual recorded data ..
since your series has anomalies ( pulses to be sure ... ) possible seasonal pulses
since your series has possible change in error model variance over t …
- 30k
1
vote
ACF or PACF decaying up to lag 50 or more, how to interpret?
For non-seasonal data if the ACF is dominant then the order of the AR model is the last significant PACF value ...reverse this logic to asses the order of the MA model If you tons of significant ACF a …
- 30k
1
vote
Accepted
Do the following ACF and PACF plots show a ARIMA(1,0,0) model?
most probably (0,1,0) as stock prices are usually random walk models.
- 30k
0
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How many differences does it need in this correlogram of the unstationary data
possibly 1 regular differencing and 1 seasonal ar 12 OR 2 differences ... 1 and 12 ... ONLY YOUR DATA KNOWS FOR SURE as there could be seasonal pulses involved and not seasonal arima – IrishStat 1 min …
- 30k
0
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ACF-PACF could be the diagnostic model of seasonality?
Simple time series identification tools that assume that seasonality is auto-projective are often simply overmatched by the data. Check the assumptions underlying all tools.
Many time series are affe …
- 30k
3
votes
Accepted
Suggest a model from ACF and PACF values
THE BIG PRINT:
Since the ACF is dominant i.e.has the most significant values the process is autoregressive (AR) . The order of the AR model is determined by the # of significant values in the subord …
- 30k
0
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ACF vs PACF in ARIMA
All of what @stans says is true IFF there is no deterministic structure in the series i.e pulses, level/step shifts , seasonal pulses and local time trends AND the parameters of the underlying model a …
- 30k
4
votes
p/q/d from ACF and PACF
Given that there were no determistic brekpoints in model error variance over time AND no changes in model paramaters over time AND that there are no pulses, seasonal pulses, level shifts or determinis …
- 30k
1
vote
Interpretation of pacf and acf plots with no lag value exceeding significance bounds
It is always useful to know the assumptions underlying any "automatic procedure" . The software you are using (and nearly all others) assume among other things
1) that there are no pulses in the data …
- 30k
1
vote
Accepted
Determining Value of p or q if both ACF and PACF plots are dies down
without having the actual data I can only surmise .. If you wish to post your data I will give you a definitive statement/conclusion . ..otherwise here is my guess
Given that there is not a seasonal/ …
- 30k
0
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AR & MA order from the ACF & PACF plots
Your acf and pacf plot is ambiguous. The paradigm you are trying to follow to identify the SARIMA model sometimes works when
1) there are no one-time pulses in the data
2) there are no seas …
- 30k
-7
votes
ACF and PACF of residuals to determine ARIMA model
To review , auto.arima in a brute force list-based procedure that tries a fixed set of models and selects the calculated AIC based upon estimated parameters. The AIC should be calculated from residual …
- 30k
0
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What do my first difference ACF/PACF show me?
if there are no pulses , level/step shifts , seasonal pulses ,local time trends ....white noise is my suggestion
- 30k
3
votes
Accepted
If the ACF of a time series is within the 95% bounds, is it white noise?
You over-modeled your data as the ar coefficient .9871 is (nearly) cancelled by the ma coefficient .9949 . Your series is probably white noise although I would need your data to confirm this as anoma …
- 30k
1
vote
Accepted
How would a select an ARIMA model based on the ACF and PACF?
Sometimes too much of a good thing is not so good !. Your 1201 monthly values starting at at 1920/1 is such an example. The historical plot is hysterical suggesting that one might start with the la …
- 30k