Box–Jenkins method: Difference between revisions

Revision as of 01:59, 31 March 2015

Revision as of 16:31, 15 April 2015

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===Identify ''p'' and ''q''===

Once stationarity and seasonality have been addressed, the next step is to identify the order (i.e., the ''p'' and ''q'') of the autoregressive and moving average terms. Different authors have different approaches for identifying ''p'' and ''q''. Brockwell and Davis (1991, p. 273) state "our prime criterion for model selection [among ARMA(p,q) models] will be the AICc", i.e., the [[Akaike information criterion]] with correction.

Other authors use the autocorrelation plot and the partial autocorrelation plot.