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| Ανθεκτικό Αυτοπαλινδρομικό Μοντέλο× | Μοντέλο ARIMA (Αυτοπαλινδρομικό Ολοκληρωμένο Κινητό Μέσος Όρος)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1986 | 1970 |
| Δημιουργός≠ | Martin & Yohai (influential early work); broader robust time series literature | George Box and Gwilym Jenkins |
| Τύπος≠ | Robust time series model | Time series forecasting model |
| Θεμελιώδης πηγή≠ | Martin, R. D., & Yohai, V. J. (1986). Influence functionals for time series. Annals of Statistics, 14(3), 781–818. DOI ↗ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Εναλλακτικές ονομασίες | robust autoregression, outlier-robust AR, M-estimator AR, heavy-tail AR | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| Συναφείς | 6 | 6 |
| Σύνοψη≠ | The robust AR model fits an autoregressive time series specification using estimation methods — typically M-estimators or bounded-influence estimators — that resist distortion from outliers and heavy-tailed error distributions. Unlike OLS-based AR estimation, robust variants down-weight extreme observations so that a small number of contaminated data points cannot dominate the fitted dynamics. | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. |
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