Tutorial and Survey: A DESCRIPTION AND APPLICATION OF THE BOX—JENKINS METHODOLOGY

In: Decision sciences, Band 3, Heft 4, S. 83-107

Abstract

ABSTRACTThis paper illustrates the use of the Box‐Jenkins methodology by analyzing the Ohio Electrical Power Consumption time series. The three basic analytical steps discussed are the following:1) Model identification ‐ by matching sample autocorrelation functions against theoretical autocorrelation functions.2) Non‐linear estimation of parameters ‐ by minimizing the sum of the squared residuals.3) Diagnostic checking ‐ by analyzing the pattern of the autocorrelation function of the residuals.Regular and adaptive forecasts are then developed using the appropriate model that emerges from the time series analysis.