A Correlogram tale
This issue is brimming with info about a key tool in our time series arsenal toolbox: correlogram analysis. We take you first through the auto-correlation and the partial auto-correlation functions definition.Next, we derive and highlight the common patterns in the ACFi and PACFi plots generated by AR, MAi and ARMAi type of processes. Finally, we draw a number of observations and drive quick intuitions to further help us identifying the candidate model(s) and its order using only ACF/PACF plots set.
The exercise will leave you with a thorough understanding of correlogram analysis, while demonstrating how NumXL can help you find an ideal model for your data.
For more details and a step-by-step tutorial, along with a downloadable spreadsheet and PDF, click this link: A Correlogram Tale