ARIMA Box and Jenkins

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Definition: ARIMA Box and Jenkins

This refers to the famous Box-Jenkins methodology used in the time series analysis for forecasting using a best fit of the past data. It is named after the two statisticians George Box and Gwilym Jenkins.

It is called an ARIMA or ARMA box because it uses an autoregressive moving average to find the best fit for forecasting.

The forecasting process basically consists of three steps:

  1. Model Identification: Identifies stationary variables, seasonality in variables and makes use of correlation.
  2. Parameter Estimation: Estimates the coefficients for the best fit model using methods such as the maximum likelihood estimation model.

Model testing: Checking of the model if it efficiently models the process.

 

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