Box-Jenkins modelling

The Box-Jenkins approach to modelling ARIMA processes was described in a highly influential book by statisticians George Box and Gwilym Jenkins in 1970. An ARIMA process is a mathematical model used for forecasting. Box-Jenkins modelling involves identifying an appropriate ARIMA process, fitting it to the data, and then using the fitted model for forecasting. One of the attractive features of the Box-Jenkins approach to forecasting is that ARIMA processes are a very rich class of possible models and it is usually possible to find a process which provides an adequate description to the data.