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E-book

Forecasting with Univariate Box - Jenkins Models: Concepts and Cases

ISBN: 978-0-470-31727-3
576 pages
September 2009
Forecasting with Univariate Box - Jenkins Models: Concepts and Cases (0470317272) cover image
Explains the concepts and use of univariate Box-Jenkins/ARIMA analysis and forecasting through 15 case studies. Cases show how to build good ARIMA models in a step-by-step manner using real data. Also includes examples of model misspecification. Provides guidance to alternative models and discusses reasons for choosing one over another.
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BASIC CONCEPTS.

Overview.

Introduction to Box-Jenkins Analysis of a Single Data Series.

Underlying Statistical Principles.

An Introduction to the Practice of ARIMA Modeling.

Notation and the Interpretation of ARIMA Models.

Identification: Stationary Models.

Identification: Nonstationary Models.

Estimation.

Diagnostic Checking.

Forecasting.

Seasonal and Other Periodic Models.

THE ART OF ARIMA MODELING.

Practical Rules.

References.

Index.
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