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A comparative arima analysis of the 111 series of the makridakis competition
Author(s) -
Lusk Edward J.,
Neves Joao S.
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.3980030311
Subject(s) - autoregressive integrated moving average , series (stratigraphy) , box–jenkins , competition (biology) , time series , econometrics , computer science , statistics , mathematics , paleontology , ecology , biology
The 111 series of the Makridakis competition are used to address a number of questions pertaining to use of the Box–Jenkins technique. The ARIMA models developed are compared to the ARIMA models developed independently by Andersen for the Makridakis competition. The time required to perform the analysis for each series is discussed in terms of model complexity. Forecast accuracy, measured as the MAPE for the one step ahead forecast, is discussed for different series lengths.