An Introduction to Forecasting

Forecasting is concerned with making predictions about future observations by relying on past measurements. In this article, I will give an introduction how ARMA, ARIMA (Box-Jenkins), SARIMA, and ARIMAX models can be used for forecasting given time-series data. Preliminaries Before we can talk about models for time-series data, we have to introduce two concepts. The backshift operator Given the time series (y = {y_1, y_2, \ldots }), the backshift operator (also called lag operator) is defined …