Cross Validated Asked by StatsMonkey on July 27, 2020
The ACF and PACF of a stationary timeseries "myts" is as given below:
> myts
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10] [,11] [,12] [,13] [,14] [,15]
ACF -0.18 -0.11 -0.15 0.11 -0.31 0.03 0.54 0.00 -0.20 -0.12 0.07 -0.22 -0.01 0.38 0.14
PACF -0.18 -0.15 -0.21 0.02 -0.37 -0.16 0.53 0.14 -0.04 -0.05 -0.09 0.00 -0.11 0.02 0.20
[,16] [,17] [,18] [,19] [,20] [,21] [,22] [,23] [,24] [,25] [,26] [,27] [,28] [,29] [,30]
ACF -0.31 0.06 -0.03 -0.07 -0.15 0.40 -0.06 -0.15 -0.06 0.04 -0.09 -0.06 0.15 0.00 -0.03
PACF -0.18 0.24 -0.01 -0.01 0.02 -0.09 -0.18 -0.05 -0.12 -0.05 0.02 0.04 -0.18 -0.07 0.18
[,31] [,32] [,33] [,34] [,35] [,36] [,37] [,38] [,39] [,40] [,41] [,42] [,43] [,44] [,45]
ACF -0.07 0.06 -0.07 0.01 0.02 0.05 -0.09 0.04 -0.01 -0.01 -0.05 0.05 -0.04 -0.01 -0.01
PACF -0.03 -0.06 0.04 0.01 0.03 -0.03 -0.02 -0.02 0.02 0.01 -0.09 0.05 0.04 -0.11 -0.09
[,46] [,47] [,48] [,49] [,50] [,51] [,52]
ACF 0.01 0.00 0.01 0.00 -0.01 0.00 0.00
PACF -0.02 -0.08 -0.03 0.02 0.06 -0.08 0.09
I read this and auto.arima(rawts) suggests ARIMA(0,1,0)(1,0,1)[7]. But I would like to know from ACF/PACF plots.
I found weekly season pattern in ACF. There are significant positive spikes in the ACF plot at lag 7,14 and 21. I assume ACF tails off and PACF Cuts off at lag 7. But I am unable to choose the parameters. Is it ARIMA(p=0,d=1,q=1)(P=1,D=0,Q=0)[7]….?
May I know what SARIMA parameters (p,d,q and P,D,Q)can be chosen based on the these ACF and PACF plots?
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