@saipkb86 wrote:
I am trying to build SARIMAX model, trying to determine the (p,d,q) & (P,D,Q,s) values from ACF, PACF plots. Data is daily observations collected for about 5 years.
Series is stationary without any differencing being required (based on ADF test). I understand from PACF plot that p=2 & q=2 (though ACF is decaying exponentially, I believe it could be due to cumulative effect of lags on each other) should be good enough, I am slightly confused as to how I can arrive at the P,Q values for the seasonal part.
From the below seasonal part of the decomposition, I could see that pattern repeats itself for every 7 days. I am also confused on the ‘s’ (periodicity in the seasonal order) whether to consider 7 as the pattern is repeating weekly or should I use 365 as the data is daily observations.Appreciate your guidance in helping me identify the P,Q values for the seasonal part of the series.
Correlogram for data without any differencing
Seasonal Component after decomposing the series:
Correlogram for data with 1st order differencing with immediate lag:
Correlogram after differencing with 7 day lag:
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