Knowledge Center

12manage is looking for students / contributors...


Forecasting and estimating the future: AutoRegressive Integrated Moving Average. Explanation of ARIMA of Box and Jenkins. ('76)


  1. Summary
  2. Forum
  3. Best Practices
  4. Expert Tips
  5. Resources
  6. Print

Nobody can really look into the future. But modern statistical methods, econometric models, and Business Intelligence software can to some extent help businesses to forecast and to estimate what is going to happen in the future.

ARIMA stands for AutoRegressive Integrated Moving Average.

The ARIMA Time Series Analysis uses lags and shifts in the historical data to uncover patterns (e.g. moving averages, seasonality) and predict the future. The ARIMA model was first developed in the late 60s but it was systemized by Box and Jenkins in 1976. ARIMA can be more complex to use than other statistical forecasting techniques, although when implemented properly ARIMA can be quite powerful and flexible.

ARIMA is a method for determining two things:

  1. How much of the past should be used to predict the next observation (length of weights)
  2. The values of the weights.

For example y(t)= 1/3 * y(t-3) + 1/3 * y(t-2) + 1/3 * y(t-1) is an ARIMA model; another ARIMA MODEL is y(t)= 1/6 * y(t-3) + 4/6 * y(t-2) + 1/6 * y(t-1)

Thus the correct ARIMA model requires identification of the right number of lags and the coefficients that should be used.
ARIMA model identification uses autoregressions to identify the underling model.
Care must be taken to robustly identify and estimate parameters as outliers (pulses, level shifts , local time trends ) can wreak havoc.

Book: Alan Pankratz - Forecasting with Univariate Box Jenkins Models : Concepts and Cases -

Book: Jeffrey Wooldridge - Introductory Econometrics: A Modern Approach -

  What is Moving Average?
What is the moving average and how can we calculat...
  ARIMA model or Time Fourier series
The ARIMA model is a useful model, but not precise...
  Updating the ARIMA model
I think even if we develop the best ARIMA model th...

ARIMA Special Interest Group

Special Interest Group

ARIMA Education & Events

Find Trainings, Seminars and Events

Best Practices - ARIMA Premium

Expert Tips - ARIMA Premium

Resources - ARIMA Premium

News about Arima AnalysisSign up


News about Statistical ForecastingSign up


Videos about Arima AnalysisSign up


Videos about Statistical ForecastingSign up


Presentations about Arima AnalysisSign up


Presentations about Statistical ForecastingSign up


Books about Arima AnalysisSign up


Books about Statistical ForecastingSign up


More about Arima AnalysisSign up


More about Statistical ForecastingSign up


Compare with: Regression Analysis  |  Dynamic Regression  |  Exponential Smoothing  |  Analytical CRM  |  Business Intelligence

Return to Management Hub: Finance & Investing  |  Marketing 

More Management Methods, Models and Theory

Special Interest Group Leader

You here

About 12manage | Advertising | Link to us / Cite us | Privacy | Suggestions | Terms of Service
© 2018 12manage - The Executive Fast Track. V14.1 - Last updated: 14-8-2018. All names ™ of their owners.