
Table des matières de ce fascicule  Article suivant Young, Warren L.
The BoxJenkins approach to time series analysis and forecasting : principles and applications. Revue française d'automatique, d'informatique et de recherche opérationnelle. Recherche opérationnelle, 11 no. 2 (1977), p. 129143
Texte intégral djvu  pdf  Analyses MR 443909  Zbl 0359.62070
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1. On these and related points, see G. Box and G. M. JENKINS, Time Series Analysis, Forecasting, and Control, HoldenDay, San Francisco, 1970; MR 272138  Zbl 0249.62009 1. C. R. NELSON, Applied Time Series Analysis, HoldenDay, San Francisco, 1973; Zbl 0271.62113 1. Seminar on Time Series Analysis, in: The Statistician, vol. 17, No. 3, 1967; 1. W. L. YOUNG, Exponential Smoothing, Seasonality, and Projection Sensitivity: the Case of Exports, Bull. Econ. Res. Yorkshire, vol. 26, No. 1, May 1974, 1. and, by the same author, Seasonality, Autoregression, and Exponential Smoothing: the Case of Economic Time Series, Metron, International Statistical Journal, Gini Institute, Rome, vol. 31, n° 14, December 1973; 1. C. CHATFIELD and D.L. PROTHERO, BoxJenkins Seasonal Forecasting: Problems in a Case Study, J. Roy.Stat. Soc A, No. 136, 1973, p. 295; 1. T. H. NAYLOR, T. G. SEAKS and D. W. WICHERN, BoxJenkins Models: an Alternative to Econometric Models, Int. Stat. Rev., vol. 40, 1972, p. 123; Zbl 0239.62062 1. J. M. BATES and C. W. GRANGER, The Combination of Forecasts, Op. Res. Q., vol. 20, 1969. 2. The constant ?o can take on a nonzero value, for example, in cases which require "differencing". This introduces a polynomial of degree d, which is, by nature, deterministic, into the forecast function eventually generated. On this point,see Box and JENKINS, ibid., pp. 9194 and 194195. 3. See NELSON, op. cit, Chapter 2, 3 ff. 4. Ibid, Chapter 5 ff. 5. An intuitive explanation regarding the nature of the partial: autocorrelation function could be given as follows: if, for example, x1, x2,..., xt is a time series, then the partial autocorrelation function at, say, lag j would be the auto correlation of xt and xt +?, under the condition that we already know the values of the observations xt + l, xt + 2,..., xt + ?  1. 6. It should be noted that the minimum sample for reliable BoxJenkins analysesis about fifty observations. In addition, given a time series of length T, the autocorrelation and partial autocorrelation functions should be computed only to about K ? T/4 lags, due to the fact that for larger values of K, or as it approaches T, these estimates become quite bad. On these and related points, see R. L. ANDERSON, Distribution of the Serial Correlation Coefficient, Annals Math. Stats., vol. 13, 1942, p. 1; 6. M. S. BARTLETT, On the Theoretical Specification of Sampling Properties of Autocorrelated Time Series, J. Roy. Stat. Soc, B, No. 8, 1946, p. 27; MR 18393  Zbl 0063.00228 6. J. DURBIN, The Fitting of Time Series Models, Rev. Int. Inst. Stats., vol. 28, 1960, p. 223; Zbl 0101.35604 6. M. H. QUENOUILLE, Approximate Test of Correlation in Time Series, J. Roy. Stat. Soc. B, vol. 11, 1949, p. 68. MR 32176  Zbl 0035.09201 7. Box and JENKINS, op. cit; D. W. MARQUARDT, An Algorithm for Least Squares Estimation of NonLinear Parameters, J. Soc. Ind. Appl. Math., vol. 2, 1963, p. 431. Zbl 0112.10505 8. C. R. NELSON, op. cit, pp. 82 ff. 9. G. Box and D. A. PIERCE, Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models, J. Amer. Stat. Assn., vol. 65, 1970, p. 1509. MR 273762  Zbl 0224.62041 10. For a classification of this type of forecast and forecasting types in general, see W. L. YOUNG, Forecasting Types and Forecasting Techniques: a Taxonomic Approach in Quality and Quantity, Europ. Amer. J. Method., Elsevier, 1976. Also see NELSON, op. cit, Ch. 6 ff; 10. P. NEWBOLD and C. GRANGER, Experience with Forecasting Univariate Time Series and the Combination of Forecasts, J. Roy. Stats. Soc, A, No. 137, 1974. MR 451583 11. Practically speaking, however, seasonal modeling using the BoxJenkins approach can prove difficult. This is due to the fact that at present, we do not know much about the theoretical behaviour of seasonal autocorrelation and partial autocorrelation functions. On these and related points, see CHATFIELD and PROTHERO, op. cit; NELSON, Ibid, Ch. 7 ff; T. F. SMITH, A Comparison of Some Models for Predicting Time Series Subject to Seasonal Variation, in: Seminar on Time Series Analysis, op. cit. 12. On these and related points, see R. J. ALLARD, An Economie Analysis of the Effects of Regulating Hire Purchase, H. M. Treasury, Gov't. Economic Service Occasional Papers, 9, London: HMSO, 1974; 12. R. J. ALLARD, Hire Purchase Controls and Consumer Durable Purchases, Queen Mary College, Univ. of London, Dept. of Economics Discussion Paper, March 1975 (253975). 12. Also see R. J. BALL and P. S. DRAKE, Impact of Credit Controlon Consumer Durable Goods Spending in the United Kingdom, 19571961, Rev. Econ. Stud. vol. 30, No. 3, 1963, for an alternative view of the problem. 13. On the principle of "overfitting" and "parameter redundancy", see NELSON, op. cit, p. 114. 14. R. J. ALLARD, op. cit, Appendix H, 1974, pp. 95 ff. The large forecasting error for 1971 III is due to the fact that hirepurchase credit controls were abolished in July, 1971, and were also distorted by strikes earlier that year, in addition to the fact that an increasing number of automobiles were purchased with credit from sources other than finance houses, e. g. personal bank loans and overdrafts, etc. 15. Box and JENKINS, op. cit; G. Box and D. R. Cox, An Analysis of Transformations, J. Roy. Stat. Soc, B, No. 26, 1964; Zbl 0156.40104 15. G. Box and G. M. JENKINS, Some Recent Advances in Forecasting and Control, Applied Stats., 17, 1968; MR 234593 15. C. GRANGER and P. NEWBOLD, Forecasting Transformed Series, J. Roy. Stat. Soa, B, No. 38 1976. MR 445749  Zbl 0344.62076 16. G. V. GLASS et al., Design and Analysis of Time Series Experiments, Colorado Associated Univ. Press; Boulder, Colo., 1975; G. GLASS, Estimating the Effects of Intervention Into a NonStationary Time Series, Amer. Educ. Res. J., vol. 9, No. 3, 1972; G. Box and G. TIAO, A Change in a Level of a NonStationary Time Series, Biometrika, vol. 52, June 1965; MR 208788  Zbl 0142.15901 G. Box and G. TIAO, Intervention Analysis with Applications to Economic and Environmental Problems, J. Amer. Stat. Assn., vol. 70, No. 349, March 1975, pp. 70 ff, 72. MR 365957  Zbl 0316.62045
