Box–Jenkins method: Difference between revisions

Revision as of 05:33, 19 May 2015

Revision as of 12:24, 19 May 2015

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===Stationarity and seasonality===

The first step in developing a Box–Jenkins model is to determine if the [[time series]] is [[Stationary process|stationary]]. Ifand itif there is notany stationarysignificant the[[seasonality]] datathat setneeds mustto be differenced to attain stationaritymodelled.

====Detecting stationarity====

Stationarity can be assessed from a [[run sequence plot]]. The run sequence plot should show constant ___location and [[Scale (ratio)|scale]]. It can also be detected from an [[autocorrelation plot]]. Specifically, non-stationary datastationarity is often indicated by patterns of decay in thean autocorrelation plot. Thewith Partialvery autocorrelationslow function should also be viewed, together the shapes and spikes of the ACF and PACF will indicate what type of [[Autoregressive integrated moving average]] will best predict future forecastsdecay.

====Detecting seasonality====