Adding Confidence Intervals to plotted ACF in ggplot2

Question

I plan to build a customized ACF and PACF plot for a simulated time series

ts <- arima.sim(n=5300,list(order=c(2,0,1), ar=c(0.4,0.3), ma=-0.2))

Below are the codes I wrote to produce the plot through ggplot2:

library(gridExtra)    
theme_setting <- theme(
  panel.background = element_blank(),
  panel.grid.major.y = element_line(color="grey90", size=0.5),
  panel.grid.major.x = element_blank(),
  panel.border = element_rect(fill=NA, color="grey20"),
  axis.text = element_text(family="Times"),
  axis.title = element_text(family="Times"),
  plot.title = element_text(size=10, hjust=0.5, family="Times"))

acf_ver_conf <- acf(ts, plot=FALSE)$acf %>% 
  as_tibble() %>% mutate(lags = 1:n()) %>% 
  ggplot(aes(x=lags, y = V1)) + scale_x_continuous(breaks=seq(0,41,4)) +
  labs(y="Autocorrelations", x="Lag", title= "Time Series, ACF") +
  geom_segment(aes(xend=lags, yend=0)) +geom_point() + theme_setting

pacf_ver_conf <- pacf(ts, main=NULL,plot=FALSE)$acf %>% 
  as_tibble() %>% mutate(lags = 1:n()) %>%
  ggplot(aes(x=lags, y = V1)) + 
  geom_segment(aes(xend=lags, yend=0)) +geom_point() + theme_setting + 
  scale_x_continuous(breaks=seq(0,41,4))+ 
  labs(y="Partial Autocorrelations", x="Lag", title= "Time Series, PACF")

grid.arrange(acf_ver_conf, pacf_ver_conf, ncol=2)

While this is exactly what I want, I am not sure how to produce the confidence intervals in acf(ts) and pacf(ts):

So, my question has two parts:

How to statistically derive the upper and lower bound of the confidence intervals for Autocorrelated Functions and Partial Autocorrelations in R?
How would you plot it onto the first graph? I was thinking about geom_ribbon but any additional idea will be appreciated!

For the second part, you can use `geom_hline` or `geom_rect` — yeedle, Mar 12 '17 at 21:35

score 3 · Accepted Answer · edited Apr 13 '17 at 12:44

This may work (the formula for the confidence limits are taken from here https://stats.stackexchange.com/questions/211628/how-is-the-confidence-interval-calculated-for-the-acf-function, may need some tweaking):

ts.acf <- acf(ts, plot=TRUE)

alpha <- 0.95
conf.lims <- c(-1,1)*qnorm((1 + alpha)/2)/sqrt(ts.acf$n.used)

ts.acf$acf %>% 
  as_tibble() %>% mutate(lags = 1:n()) %>% 
  ggplot(aes(x=lags, y = V1)) + scale_x_continuous(breaks=seq(0,41,4)) +
  geom_hline(yintercept=conf.lims, lty=2, col='blue') +
  labs(y="Autocorrelations", x="Lag", title= "Time Series, ACF") +
  geom_segment(aes(xend=lags, yend=0)) +geom_point() + theme_setting

ts.pacf <- pacf(ts, main=NULL,plot=TRUE)

alpha <- 0.95
conf.lims <- c(-1,1)*qnorm((1 + alpha)/2)/sqrt(ts.pacf$n.used)

ts.pacf$acf %>% 
  as_tibble() %>% mutate(lags = 1:n()) %>%
  ggplot(aes(x=lags, y = V1)) + 
  geom_segment(aes(xend=lags, yend=0)) +geom_point() + theme_setting + 
  scale_x_continuous(breaks=seq(0,41,4))+ 
  geom_hline(yintercept=conf.lims, lty=2, col='blue') +
  labs(y="Partial Autocorrelations", x="Lag", title= "Time Series, PACF")

Adding Confidence Intervals to plotted ACF in ggplot2

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