A comparative arima analysis of the 111 series of the makridakis competition

The 111 series of the Makridakis competition are used to address a number of questions pertaining to use of the Box–Jenkins technique. The ARIMA models developed are compared to the ARIMA models developed independently by Andersen for the Makridakis competition. The time required to perform the analysis for each series is discussed in terms of model complexity. Forecast accuracy, measured as the MAPE for the one step ahead forecast, is discussed for different series lengths.