Time Series

ARIMA Time Series Modeling

26 Feb , 2015  

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Forecasting based on ARIMA (autoregressive integrated moving averages) models, commonly know as the Box–Jenkins approach, comprises following stages:

i.) Model identification ii.) Parameter estimation

iii.) Diagnostic checking

These stages are repeated until a “suitable” model for the given data has been identified (e.g. for prediction). The following three sections show some facilities that R offers for assisting the three stages in the Box–Jenkins approach.

A first step in analyzing time series is More…

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