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The M‐competition with a fully automatic box–jenkins procedure
Author(s) -
Libert G.
Publication year - 1984
Publication title -
journal of forecasting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.543
H-Index - 59
eISSN - 1099-131X
pISSN - 0277-6693
DOI - 10.1002/for.3980030310
Subject(s) - box–jenkins , computer science , a priori and a posteriori , competition (biology) , series (stratigraphy) , process (computing) , econometrics , artificial intelligence , data mining , time series , machine learning , autoregressive integrated moving average , mathematics , ecology , paleontology , philosophy , epistemology , biology , operating system
CAPRI is a fully automatic and quick procedure for forecasting. It is based on the Box–Jenkins methodology and needs no a priori knowledge about the time series. The 1001 series of the Makridakis competition have been analysed with this program and its accuracy measured in comparison with other methods. CAPRI is recommended for short term forecasting horizons in cases where the user does not want to interfere with the modelling process.