PPT15 Seasonal Box-Jenkins F2010 (1)

PPT15 Seasonal Box-Jenkins F2010 (1) - McGill University...

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McGill University Advanced Business Statistics MGSC-272
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Fall’09 Seasonal Box-Jenkins
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Airline Data Box-Jenkins Series G The data set consists of 12 years of monthly airline passenger ticket sales from 1949 to 1960 Year Month Passengers 1949 Jan 112 * Feb 118 * Mar 132 * Apr 129 * May 121 * Jun 135 * Jul 148 * Aug 148 * Sep 136 * Oct 119 * Nov 104 * Dec 118 1950 Jan 115 * Feb 126 * Mar 141
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Seasonal Box-Jenkins model The model is specified as ARIMA( p,d,q )( P,D,Q ) s where p , d , q refer to the nonseasonal components of the ARIMA model and P , D , Q refer to the seasonal components. s represents the number of seasonal terms. Typically n = 4 for a quarterly model and n = 12 for a monthly model
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Constructing the Model We will construct a model using the data from years 1949 to 1959, inclusive. We will reserve the data for year 1960 as a test set to evaluate the performance of our model.
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Time series plot
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Stationarity Visual examination of the time series plot reveals that the data are not stationary with respect to the mean (there is an upward trend) or with respect to the
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This note was uploaded on 02/28/2012 for the course MANAGEMENT MGSC 272 taught by Professor Smith during the Spring '12 term at McGill.

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PPT15 Seasonal Box-Jenkins F2010 (1) - McGill University...

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