A method, system, and computer program product for selecting forecasting model complexity using eigenvalues are provided in the illustrative embodiments A process is represented in a model. The model comprises a mathematical representation of the process in a certain degree. A first portion of historical data generated by the process during a first period is selected and includes an actual value of an outcome of the process and a value of a feature influencing the process during the first period. A prediction is made of a predicted value of the outcome. A difference between the prediction and the actual value of the outcome is determined. The difference is represented as a change in a distribution of eigenvalues. According to the change, a second model is to represent the process. The second model comprises a second mathematical representation of the process in a different degree.