Box-Jenkins method
The Box-Jenkins Method or the Box-Jenkins Program goes back to George E. P. Box and Gwilym M. Jenkins and their 1970 book Time Series Analysis - Forecasting and Control . It marked a new era in time series analysis . In contrast to the prevailing trend model , which assumed a deterministic process, Box and Jenkins assume a stochastic process with the help of which a time series is modeled . An important consequence of this approach is that (random) shocks can have a permanent effect on later time series values. This is a more realistic assumption, especially for economic time series.
An important dogma of the Box-Jenkins Method is what is known as the Law of Thrift . This calls for an economical parameterization of the model in the sense of the smallest possible number of parameters.
literature
- Box, GEP; Jenkins, GM: Time Series Analysis - Forecasting and Control , San Francisco: Holden Day, 1970
- Evaluation using the Box-Jenkins method: e. Under to check d. Effectiveness e. legislative measure to increase d. judge. Work effectiveness in the area d. Civil jurisdiction / Margret Rottleuthner-Lutter. - Frankfurt am Main ; Bern; New York: Lang, 1986. - 329 pp.: Graph. Darst. (German), ISBN 3-8204-9235-6 .