Displays for direct comparison of ARIMA models

Displays for direct comparison of ARIMA models

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Article ID: iaor20031677
Country: United States
Volume: 56
Issue: 2
Start Page Number: 131
End Page Number: 138
Publication Date: May 2002
Journal: The American Statistician
Authors: ,
Keywords: graphical methods, ARIMA processes
Abstract:

The series of graphs presented here, based on standard time series diagnostics and display graphs, eases the tasks of identifying and checking an ARIMA model. Each diagnostic display consists of a matrix of plots for a series of ARIMA(p,d,q) models (with p = 1:pmax, q = 1:qmax, and d constant). In this way the identification phase of the analysis is eased because the analyst can directly see the incremental effect of each proposed term. The direct visual comparison of the models is helpful to the experienced analyst because it makes immediate the difference in the explanatory capabilities of the various models. The series of plots is very helpful in presenting time series concepts, particularly the identification phase, to introductory classes. The plots have been implemented using the Trellis system in S-Plus.

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