The M‐competition with a fully automatic box–jenkins procedure

CAPRI is a fully automatic and quick procedure for forecasting based on the Box–Jenkins methodology and needs no a priori knowledge about the time series.

Abstract

Abstract CAPRI is a fully automatic and quick procedure for forecasting. It is based on the Box–Jenkins methodology and needs no a priori knowledge about the time series. The 1001 series of the Makridakis competition have been analysed with this program and its accuracy measured in comparison with other methods. CAPRI is recommended for short term forecasting horizons in cases where the user does not want to interfere with the modelling process.