Box–Jenkins method: Difference between revisions

Revision as of 00:14, 6 July 2020

Revision as of 15:04, 4 December 2020

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The data they used were from a gas furnace. These data are well known as the Box and Jenkins gas furnace data for benchmarking predictive models.

Commandeur & Koopman (2007, §10.4)<ref>{{cite book |last=Commandeur |first=J. J. F. |last2=Koopman |first2=S. J. |year=2007 |title=Introduction to State Space Time Series Analysis |___location= |publisher=[[Oxford University Press]] |isbn= }}</ref> argue that the Box–Jenkins approach is fundamentally problematic. The problem arises because in "the economic and social fields, real series are never stationary however much differencing is done". Thus the investigator has to face the question: how close to stationary is close enough? As the authors note, "This is a hard question to answer". The authors further argue that rather than using Box–Jenkins, it is better to use state space methods, as stationarity of the time series is then not required.

==Box–Jenkins model identification==