Forecasting with Univariate Box - Jenkins Models: Concepts and Cases

By Alan Pankratz

Explains the concepts and use of univariate Box-Jenkins/ARIMA analysis and forecasting through 15 case studies. Cases show how to build good ARIMA models in a step-by-step manner using real data. Also includes examples of model misspecification. Provides guidance to alternative models and discusses reasons for choosing one over another.

• Format: Hardcover
• Language: English
• ISBN: 0471090239
• ISBN13: 9780471090236
• Release Date: August 1983
• Publisher: Wiley
• Length: 588 Pages
• Weight: 2.10 lbs.
• Dimensions: 1.3" x 6.4" x 9.3"

Customer Reviews

good practical book

Pankratz gives a nice and non-rigorous description of Box-Jenkins methodology. He does an excellent job of illustrating the technique through real data examples. The best features of the book are the large number of examples for which Box-Jenkins time series models are fit. It also gives the beginner a nice undertanding of "how to do it" but not "why do it".

A well written book for BJ modelers

I found this book to be very well written. Everything is clearly explained and it covers just what the title suggests. Each chapter ends with a summary and there is one short chapter which contains a list of practical rules for setting up the forecasting models. Then there are 15 detailed case studies to show you how to put the theory into practice. Many plots are included showing the result of simulations. This is a BJ model builders book. If you are seriously interested in time series models of the unvariate type, consider this work. The book is geared toward a student or individual with a modest background in statistics.