Content deleted Content added
m Updated date in which Peter Whittle released his thesis <ref>https://www.jstor.org/stable/2281054?origin=crossref&seq=1</ref> Tag: Reverted |
No edit summary |
||
Line 2:
{{redirect|ARMA model||ARMA (disambiguation)}}
In the [[statistics|statistical]] analysis of [[time series]], '''autoregressive–moving-average''' ('''ARMA''') '''models''' provide a parsimonious description of a [[stationary stochastic process|(weakly) stationary stochastic process]] in terms of two polynomials, one for the [[AR model|autoregression]] (AR) and the second for the [[MA model|moving average]] (MA). The general ARMA model was described in the
Given a time series of data ''X''<sub>''t''</sub> , the ARMA model is a tool for understanding and, perhaps, predicting future values in this series. The AR part involves regressing the variable on its own lagged (i.e., past) values. The MA part involves modeling the [[errors and residuals in statistics|error term]] as a [[linear combination]] of error terms occurring contemporaneously and at various times in the past. The model is usually referred to as the ARMA(''p'',''q'') model where ''p'' is the order of the AR part and ''q'' is the order of the MA part (as defined below).
| |||