A new approach to arma modeling

A satisfactory solution to the problem of determining the appropriate forecast model for the Box-Jenkins method is obtained and it is demonstrated by numerous examples how this greatly enlarges the class of data sets which can be adequately modeled by autoregressive-moving average models.

Abstract

In recent years the Box-Jenkins method has become a popular technique for forecasting future behavior of a time series. Once adecruate computer packages are available for most purposes. un fortunately the problem of determining the appropriate forecast model has, for models of any complexity, been one of the major stumbling blocks to the user of this method. In this paper a satisfactory solution to that problem is obtained and it is demonstrated by numerous examples how this greatly enlarges the class of data sets which can be adequately modeled by autoregressive-moving average models. This new approach is sufficiently unequivocal that most users will find it easy to implement.