# Questions tagged [box-jenkins]

The Box-Jenkins procedure is used to identify the orders of an ARIMA model to apply to a time series.

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### R package for order selection of a vector ARIMA(p,d,q) for multivariate time series

I'm currently working on a project that requires dealing with multivariate time series. What I would like to fit to my dataset is a VARIMA(p,d,q) . I'd like to proceed using the Box-Jenkins procedure, ...
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### Arima model not showing seasonality in its forecast

The following is a seasonal(not perfectly) time series sequence that I am trying to fit an ARIMA model to: I performed box-cox transformation, 1 seasonal differencing and 1 regular differencing to ...
1 vote
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### Inverse differencing and inverse box cox on forecasted arima predictions

I am working on a time series project with non-seasonal data which has a non-constant variance. So in order to solve that issue I used box cox transformation to get the data in a suitable format, <...
1 vote
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### Negative forecast value using ARIMA from fable and NaNs warning using ARIMA

My data set is a weekly data that contains two variables Production and Shipment. Production is the independent variable and Shipment is the dependent variable. First I'm trying to forecast Production ...
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### Is non-invertibility a problem for (AR)MA processes?

I'm reading Time Series Analysis: Forecasting and Control (3rd ed.) by Box, Jenkins and Reinsel. There are some arguments about invertibility that I can't wrap my head around. Considering a MA(1) ...
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### Box-Jenkins Methodology: Statistical model checking

According to https://en.wikipedia.org/wiki/Box%E2%80%93Jenkins_method : Statistical model checking by testing whether the estimated model conforms to the specifications of a stationary univariate ...
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### Sample Period for Model Selection?

I am currently trying to perform pseudo-out-of-sample forecasting for monthly exchange rates with a 10-year rolling window. Before that, I select an autoregressive model using Box Jenkins ...
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### What Happens When You Use Box-Jenkins Wrong?

I have a question about what happens when a Box-Jenkins model is used incorrectly. I understand that the following is not an appropriate use case for Box-Jenkins, and that you should not do it. But ...
1 vote
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### Box-Jenkins methodology in a Bayesian framework

I would like to know if the well-known Box-Jenkins methodology for time series analysis transfer directly in a Bayesian framework. For instance, does one analyze the autocorrelation plot and the ...
123 views

### Parameter estimation of ARIMA model with exogenous variables (ARIMAX)

I am trying to compare an ARIMA model based on the price of a cryptocurrency without exogenous variables to one which adds in the number of tweets about the crypto in the same period as an exogenous ...
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### Searching for Clive Granger's 1972 paper on time series decomposition from the Budapest Conference

In 1972 Clive Granger presented a seminal work on the Box-Jenkins Time Series methods as a conference paper: C. W. J. GRANGER, Time Series Modelling and Interpretation, Paper presented to the European ...
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### Autocorrelation (acf) and Partial Autocorrelation (pacf) to identify Box-Jenkins models

Can you help me to identify which Box-Jenkins models in these pictures? I have read behavior ACF and PACF to identify whether this is AR, MA, ARMA or ARIMA but I'm so confused because none of the ...
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### ARIMA Specification from Correlogram

How should I determine the data generating process from the correlogram below? This is non-seasonally adjusted monthly data that has been 1st differenced. I am trying to conduct univariate time ...
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### Review of Box-Jenkins methodology

i just finished developing an ARMAX model with python (mostly statsmodels) in order to forecast some data. My next step is to test the data (24 time series) with the given ARMAX model. As i need to ...
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### What exactly is the Box-Jenkins method for ARIMA processes?

The Wikipedia page says that Box-Jenkins is a method of fitting an ARIMA model to a time series. Now, if I want to fit an ARIMA model to a time series, I will open up SAS, call ...
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### Determining parameters (p, d, q) for ARIMA modeling

I am fairly new to statistics and R. I would like to know the process to determine the ARIMA parameters for my dataset. Can you help me figure out the same using R and theoretically (if possible)? ...
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1 vote
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### Determining the order of a Box-Jenkins modeling process

I have a problem on what model class (AR, MA, ARMA, ARIMA, etc.) will I use on my data, i.e., what order (say 1,0,1) will I use, using a Box-Jenkins procedure. I have already done many ...
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### ARIMA estimation by hand

I'm trying to understand how the parameters are estimated in ARIMA modeling/Box Jenkins (BJ). Unfortunately none of the books that I have encountered describes the estimation procedure such as Log-...
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