A mathematical model designed to forecast data within a time series. The Box-Jenkin model alters the time series to make it stationary by using the differences between data points. This allows the model to pick out trends, typically using autoregresssion, moving averages and seasonal differencing in the calculations.
Autoregressive Integrated Moving Average (ARIMA) models are a form of Box-Jenkins model.
Estimations of the parameters of the Box-Jenkins model is very complicated and is most often achieved through the use of software. The model was created by two mathematicians, George Box and Gwilym Jenkins, and outlined in their 1970 paper, "Time Series Analysis: Forecasting and Control."
Investment dictionary. Academic. 2012.
Look at other dictionaries:
Box-Jenkins — In econometrics, the Box Jenkins methodology, named after the statisticians George Box and Gwilym Jenkins, applies autoregressive moving average ARMA or ARIMA models to find the best fit of a time series to past values of this time series, in… … Wikipedia
Jenkins High School — Infobox School name = Jenkins High School native name = Herschel Vespasian Jenkins High School latin name = imagesize = caption = location = streetaddress = 1800 East Derenne Avenue region = city = Savannah state = Georgia county = Chatham… … Wikipedia
Autoregressive moving average model — In statistics, autoregressive moving average (ARMA) models, sometimes called Box Jenkins models after the iterative Box Jenkins methodology usually used to estimate them, are typically applied to time series data.Given a time series of data X t … Wikipedia
Gwilym Jenkins — Gwilym Meirion Jenkins (1933 – July 10, 1982) was a British statistician and systems engineer . His most notable contribution was pioneering work with George Box on autoregressive moving average models, also called Box Jenkins models, in time… … Wikipedia
George E. P. Box — Infobox Scientist image width = 150px name = George E. P. Box box width = birth date = 18 October 1919 birth place = Gravesend, Kent, England death date = death place = residence = United Kingdom, United States citizenship = nationality =… … Wikipedia
Moving-average model — In time series analysis, the moving average (MA) model is a common approach for modeling univariate time series models. The notation MA(q) refers to the moving average model of order q: where μ is the mean of the series, the θ1, ..., θq are the… … Wikipedia
America's Next Top Model — Format Reality … Wikipedia
statistics — /steuh tis tiks/, n. 1. (used with a sing. v.) the science that deals with the collection, classification, analysis, and interpretation of numerical facts or data, and that, by use of mathematical theories of probability, imposes order and… … Universalium
Predictive analytics — encompasses a variety of techniques from statistics and data mining that analyze current and historical data to make predictions about future events. Such predictions rarely take the form of absolute statements, and are more likely to be… … Wikipedia
Partial autocorrelation function — In time series analysis, the partial autocorrelation function (PACF) or PARtial autoCORrelation (PARCOR) plays an important role in data analyses aimed at identifying the extent of the lag in an autoregressive model. The use of this function was… … Wikipedia