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Box–Jenkins approach


'Box–Jenkins approach' can also refer to...

 

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A method of identification, estimation, and diagnostic checking of autoregressive integrated moving average (ARIMA) models. First, sample autocorrelation coefficients and partial autocorrelation coefficients are used to specify a tentative ARIMA model. Next, the parameters of the tentative model are estimated. Finally, diagnostics tests are performed, e.g. by analysing the residuals. If the model is rejected a new identification is specified and the process is repeated.

Subjects: Probability and Statistics — Economics.


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