Partial Autocorrelation: φ₁₁, φ₂₂ and Reading the Model Order from ACF and PACF
This lesson is part of the course
In this lesson
You turn the autocorrelations of four Wrenfield series into partial autocorrelations, compare them with the ±2/√n band and read off which model each series suggests.
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Lessons in this course
- Stationarity by Numbers: Rolling Means, Rolling Spreads and a Simple Verdict Locked
- Differencing: First Differences, Seasonal Differences (Lag 12) and Both Together Locked
- Autocorrelation by Hand: ACF at Lags 1–6 with SUMPRODUCT and the ±2/√n Band Locked
- Partial Autocorrelation: φ₁₁, φ₂₂ and Reading the Model Order from ACF and PACF Locked
- AR(1) by Hand: Fit φ with SLOPE, Build the Constant and Forecast One Step Ahead Locked
- MA(1) by Hand: Residual Recursion with a Given θ, One-Step Forecasts and Shocks Locked
- ARIMA(1,1,0): Forecast the Differences and Integrate Back to Levels Locked
- Residual Checks & Model Choice: Residual ACF, Q Statistic, RMSE and an Information Score Locked