time series

ramanji8278 — Wed, 24 Jan 2018 14:34:14 GMT

Hi all,

in ARIMA analysis, how to choose P D Q values by using ACF and PACF plot..can anyone please give advise

Thanks,

Ram.

Re: time series

Puwang — Thu, 01 Feb 2018 15:19:58 GMT

In short, you can use the following rules to identify P (AR order), D (difference), Q (MA order) terms:

If the PACF of the differenced series displays a sharp cutoff and/or the lag-1 autocorrelation is positive--i.e., if the series appears slightly "underdifferenced"--then consider adding an AR term to the model. The lag at which the PACF cuts off is the indicated number of AR terms.

If the ACF of the differenced series displays a sharp cutoff and/or the lag-1 autocorrelation is negative--i.e., if the series appears slightly "overdifferenced"--then consider adding an MA term to the model. The lag at which the ACF cuts off is the indicated number of MA terms.

If there is a unit root in the AR part of the model--i.e., if the sum of the AR coefficients is almost exactly 1--you should reduce the number of AR terms by one and increase the order of differencing by one.

If there is a unit root in the MA part of the model--i.e., if the sum of the MA coefficients is almost exactly 1--you should reduce the number of MA terms by one and reduce the order of differencing by one.

This site gives more details on the topic https://people.duke.edu/~rnau/411arim3.htm

Re: time series

YueLi — Fri, 02 Feb 2018 18:28:15 GMT

FYI, two more references:

https://www.otexts.org/fpp/8/7

https://onlinecourses.science.psu.edu/stat510/node/62

Re: time series

ramanji8278 — Fri, 02 Feb 2018 18:36:51 GMT

Thanks a lot

topic Re: time series in SAS Forecasting and Econometrics

time series

Re: time series

Re: time series

Re: time series