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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Stationary Check (ADF, KPSS and ACF PACF Plot) for SARIMAX model
I'm still confused about whether my data is stationary in terms of variance and mean or not, because based on the ADF test and KPSS test the data already shows stationary (because it rejects H0) but ...
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How can I calculate the confidence interval for ACF
I have found multiple sources. One is claiming that the confidence interval is estimated by:
qnorm((1 + ci)/2)/sqrt(x$n.used)
(How is the confidence interval ...
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Interpret the PACF plot to select the correct lag (AR model order)
I want to select lag (AR model order) for the series Food price inflation.
AIC gives 4.
SIC gives 3.
And also, I print its PACF plot.
How can I interpret the PACF plot to select the correct lag?
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How to determine the optimal lag length in time series?
I am a beginner in time series analysis, and I am always having this problem of selecting the optimal lag length for my time series, especially when using machine learning algorithms for the ...
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Estimation of autocorrelation from unevenly sampled time series
Consider $n$ distinct time series $X^{(1)}, \ldots, X^{(n)}$, indexed by time (time ranging from 0 to 1), such that:
each time series $X^{(i)}$ has a different number of observations,
the time ...
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Why the differenced at lag 12 time series of a SARIMA(0,0,0)(0,1,1)_12 model follow the MA(1) pattern with step 12?
I am trying to understand why the ACF of the seasonally differenced series reveals the AR of MA structure of the original series.
For example:
The following lines creates a SARIMA(0,0,0)(0,1,1)_12 ...
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What does a significant PACF and insignificant ACF plot mean about autocorrelation?
I am new to time-series analysis and have been trying to understand how to correctly identify different types of autocorrelation in my seasonal data. I have run a gam and am now looking at the ...
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How to determine (the lag order of) MA from these plots?
I am using time series to analyze the price of a commodity. Characterizing is the fact that the price of the good is determined per hour, one day prior to the day of delivery. For now, I have ...
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Prove the convergence of the sample PACF
I'm looking for a proof that the sample PACF converges in probability to the PACF in probability as T goes to infinity when m = p.
Moreover, I am looking for a proof that when m > p, that the ...
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Difference transformation and Stationarization of Moving Average
I have a temperature sensor data, I want to denoise it. The first thing that came to my mind was to take the moving average, it was very smooth but it is still not stationary. If I take the log ...
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ACF and PACF plots to estimate SARIMA orders
I have some data (sales of a particular item at a particular grocery store) which exhibits both trend and seasonality. I fit these trend and seasonality components by doing a linear regression of the ...
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How to choose the order of differencing?
I have a time series that looks like this
I was asked to display the autocorrelation function and perform ADF test and based on that suggest a d for further analysis.
I get plots like this and can ...
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What critical level to use in diagnostic tests for model selection in forecasting?
I have been reading Hyndman & Athanasopoulos "Forecasting: Principles and Practice" (newest edition here) recently, and I noticed something that I regard as a possible inconsistency. On ...
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What modeling approach should i use AR, MA, ARMA?
those are my ACF and PACF plots for my time series after two differentiating. I watched a couple of tutorials but I cannot figure out what method I am supposed to use. Also, an interpretation of the ...
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What does this autocorrelation plot mean? [duplicate]
Is there any definitive meaning to a sinusoidal (above and below zero line) autocorrelation v lag plot? What does it tell us, if anything, about the realization it came from?
