V.1:2 (40-43): ARIMA Forecasting by ERIC WEISS, PH.D.

V.1:2 (40-43): ARIMA Forecasting by ERIC WEISS, PH.D.
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ARIMA Forecasting by ERIC WEISS, PH.D.

In the October 1982 of Technical Analysis, I discussed Autoregressive-Integrated Moving Average (ARIMA) and why it is such an accurate forecasting technique. In this article, I'll discuss how to build an ARIMA model using typical software and present some examples from my program for microcomputers such as the Apple ][, EASI/ ARIMA. Most other ARIMA programs running on large mainframe computers use a similar technique, although the commands are a little different.

The approach I like best was developed and popularized by Box and Jenkins at The University of Wisconsin and The University of Lancaster (England), respectively. They have had such a major role in ARIMA that it is frequently called Box-Jenkins. Their approach identifies an appropriate model, estimates it, runs diagnostic to make sure that it works as it should and then uses the model for forecasting.

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