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Time-Series Analysis With Box-Jenkins

The folks at Knoyd walk us through time series analysis using the Box-Jenkins method:

However, this approach is not generally recommended so we have to find something more appropriate. One option could be forecasting with the Box-Jenkins methodology. In this case, we will use the SARIMA (Seasonal Auto Regressive Integrated Moving Average) model. In this model, we have to find optimal values for seven parameters:

  • Auto Regressive Component (p)
  • Integration Component (d)
  • Moving Average Component (q)
  • Seasonal Auto Regressive Component (P)
  • Seasonal Integration Component (D)
  • Seasonal Moving Average Component (Q)
  • Length of Season (s)

To set these parameters properly you need to have knowledge of auto-correlation functions and partial auto-correlation functions.

Read on for a nice overview of this method, as well as the importance of making sure your time series data set is stationary.