Box-Jenkins Model

Definition of 'Box-Jenkins Model'


A mathematical model designed to forecast data within a time series. The Box-Jenkin model alters the time series to make it stationary by using the differences between data points. This allows the model to pick out trends, typically using autoregresssion, moving averages and seasonal differencing in the calculations.

Autoregressive Integrated Moving Average (ARIMA) models are a form of Box-Jenkins model.

Investopedia explains 'Box-Jenkins Model'


Estimations of the parameters of the Box-Jenkins model is very complicated and is most often achieved through the use of software. The model was created by two mathematicians, George Box and Gwilym Jenkins, and outlined in their 1970 paper, "Time Series Analysis: Forecasting and Control."



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