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Box–Jenkins method

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Box-Jenkins is a methodology in econometrics named after the statisticians George Box and Gwilym Jenkins. The method applies autoregressive integrated moving average ARIMA models to find the best fit of a time series to past values of this time series, in order to make forecasts.

Literature

BOX and JENKINS (1970) Time series analysis: Forecasting and control, San Francisco: Holden-Day.

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