Time Series Assignment Essay Example | Topics and Well Written Essays - 1500 words

Time Series Assignment - Essay ExampleAutocorrelation routine (ACF) is thecross-correlationof a prognosticwith itself. It refers to the similarity surrounded by observations as a function of the time lag between them. ACF is a statistical tool for finding repeating patterns, for example the presence of a periodic sign obscured by noise, or may be divulgeing themissing fundamental frequency (Box and Jenkins, 1994) in a signal implied by itsharmonicfrequencies.Just like ACF, PACF spells (Box and Jenkins, 2008) are also commonly used tool for identifying the show of anautoregressive model. The partial autocorrelation of an AR (p) process is zero at lagp+1 and greater. If the sample autocorrelation plot indicates that an AR model may be appropriate, then the sample partial autocorrelation plot is examined to help identify the order. One looks for the point on the plot where the partial autocorrelations for all higher lags are essentially zero. Placing on the plot an indication of th e sampling uncertainty of the sample PACF is helpful for this purpose this is usually constructed on the theme that the true value of the PACF, at any given positive lag, is zero.If the PACF displays a sharp cut-off while the ACF decays more slowly (i.e., has signifi fecest spikes at higher lags), we say that the stationarized series displays an AR signature, meaning that the autocorrelation pattern can be explained more easily by adding AR terms rather than by adding MA terms. The plots all the way displays a sharp cut-off for the PACF and a significantly reducing value of spikes for the ACF implying that we instead use an AR