Deviations from Normality in Autocorrelation Functions and Their Implications for MA(q) Modeling

Royer-Carenzi, M. & Hassani, H. (2025). Deviations from Normality in Autocorrelation Functions and Their Implications for MA(q) Modeling. Stats 8 (1) p. 19. 10.3390/stats8010019.

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Abstract

The identification of the orders of time series models plays a crucial role in their accurate specification and forecasting. The Autocorrelation Function (ACF) is commonly used to identify the order q of Moving Average (MA(q)) models, as it theoretically vanishes for lags beyond q. This property is widely used in model selection, assuming the sample ACF follows an asymptotic normal distribution for robustness. However, our examination of the sum of the sample ACF reveals inconsistencies with these theoretical properties, highlighting a deviation from normality in the sample ACF for MA(q) processes. As a natural extension of the ACF, the Extended Autocorrelation Function (EACF) provides additional insights by facilitating the simultaneous identification of both autoregressive and moving average components. Using simulations, we evaluate the performance of q-order identification in MA(q) models, which is based on the properties of ACF. Similarly, for ARMA(p,q) models, we assess the (p,q)-order identification relying on EACF. Our findings indicate that both methods are effective for sufficiently long time series but may incorrectly favor an ARMA(p,q−1) model when the aq coefficient approaches zero. Additionally, if the cumulative sums of ACF (SACF) behave consistently and the Ljung–Box test validates the proposed model, it can serve as a strong candidate. The proposed models should then be compared based on their predictive performance. We illustrate our methodology with an application to wind speed data and sea surface temperature anomalies, providing practical insights into the relevance of our findings.

Item Type:	Article
Uncontrolled Keywords:	time series analysis; autocorrelation function (ACF); white noise; moving average; normality tests
Research Programs:	Advancing Systems Analysis (ASA) Advancing Systems Analysis (ASA) > Cooperation and Transformative Governance (CAT)
Depositing User:	Luke Kirwan
Date Deposited:	07 Apr 2025 14:53
Last Modified:	07 Apr 2025 14:53
URI:	https://pure.iiasa.ac.at/20502

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