Displays for Direct Comparison of ARIMA Models
Richard M. Heiberger, Paulo Teles · The American Statistician · 2002
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.