Auto-suggest helps you quickly narrow down your search results by suggesting possible matches as you type.

Showing results for

- JMP User Community
- :
- Discussions
- :
- Discussions
- :
- ARIMA Time Series by ACF, PACF

Topic Options

- Subscribe to RSS Feed
- Mark Topic as New
- Mark Topic as Read
- Float this Topic for Current User
- Bookmark
- Subscribe
- Printer Friendly Page

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Jun 29, 2015 12:17 PM
(2130 views)

How do you use the time series ACF and PACF plots to suggest the nonseasonal and seasonal AR components of the ARIMA model?

Solved! Go to Solution.

1 ACCEPTED SOLUTION

Accepted Solutions

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Jun 30, 2015 10:53 AM
(3014 views)

Solution

Generally I look at these plots to see which lag(s) have the highest correlation coefficients to help determine differencing order for the AR component and seasonal interval if I'm contemplating some sort of seasonal ARIMA model. I also try to use some process knowledge to validate, in a non-statistical sense, my differencing and seasonal interval guesses. For example...if I were monitoring temperature in my home, controlled by a thermostat, on a minute by minute basis, I'd suspect a differencing order close to 1 to be the best. If I were monitoring my home's monthly natural gas consumption, I'm guessing that a seasonal lag component would be 12 months out in time. Seriesg.jmp in the JMP Sample Data Directory is a good sample data set to illustrate these concepts.

3 REPLIES

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Jun 30, 2015 10:53 AM
(3015 views)

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Jun 30, 2015 12:10 PM
(1923 views)

- Mark as New
- Bookmark
- Subscribe
- Subscribe to RSS Feed
- Permalink
- Email to a Friend
- Report Inappropriate Content

Jun 30, 2015 12:17 PM
(1923 views)