ARIMA Model Selection
Box-Jenkins workflow for ARIMA model selection.
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flowchart TD
S[Series y_t] --> Plot[Plot + ADF test]
Plot --> Stat{Stationary?}
Stat -- no --> Diff[Difference d times]
Diff --> Plot
Stat -- yes --> ACF[ACF + PACF]
ACF --> Cand[Candidate p, q]
Cand --> Fit["Fit ARIMA(p,d,q)"]
Fit --> Diag[Residual diagnostics:\nLjung-Box, Q-Q]
Diag --> OK{White noise?}
OK -- no --> Cand
OK -- yes --> Cmp[Compare AIC / BIC]
Cmp --> Best[Select best model]
Best --> Forecast[Forecast + intervals]