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…