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Automatic SARIMA modeling and forecast accuracy. (English) Zbl 1497.62227

Summary: The crucial phase of the practical application of the Box-Jenkins methodology is the specification and verification of the suitable model. When it is made “manually” it is difficult and subjective. A new automatic SARIMA modeling method has been proposed. It is a procedure based on the classic model selection process; i.e., model specification, parameter estimation and diagnostic control. By use of a simulation study, the proposed automatic SARIMA procedure is compared with the authors’ own implementations of automatic SARIMA procedures based on the AIC and BIC and the in-sample forecasts evaluation from the point of view of model quality, as well as the accuracy of the forecasts obtained.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M20 Inference from stochastic processes and prediction
62P20 Applications of statistics to economics
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