ARIMA: The Models of Box and Jenkins

Abstract

Foresight tutorials are designed to be nontechnical overviews of important methodologies, enabling business forecasters to make more informed use of their forecasting software. The Fall 2012 issue contained Eric StellwagenÕs tutorial ÒExponential Smoothing: The Workhorse of Business Forecasting.Ó Eric and Len now team up to discuss ARIMA, the models popularized by Box and Jenkins. They examine the pros and cons of ARIMA modeling, provide a conceptual overview of how the technique works, and discuss how best to apply it to business data. Copyright International Institute of Forecasters, 2013