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| ARIMA (autoregressiivne integreeritud liikuv keskmine) mudel× | Pikajärjestikused mudelid (ARFIMA, FIGARCH)× | |
|---|---|---|
| Valdkond≠ | Ökonomeetria | Rahandus |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2015 | 1980 |
| Looja≠ | Box & Jenkins (Box-Jenkins methodology) | Granger & Joyeux (ARFIMA); Baillie, Bollerslev & Mikkelsen (FIGARCH) |
| Tüüp≠ | Univariate time-series model | Fractionally integrated time series model |
| Algallikas≠ | Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021 | Granger, C. W. J. & Joyeux, R. (1980). An Introduction to Long-Memory Time Series Models and Fractional Differencing. Journal of Time Series Analysis, 1(1), 15-29. DOI ↗ |
| Rööpnimetused≠ | Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli | ARFIMA, FIGARCH, fractionally integrated models, fractional integration |
| Seotud≠ | 5 | 4 |
| Kokkuvõte≠ | ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015). | Long-memory models are fractional-integration methods that capture genuine long memory through a hyperbolically decaying autocorrelation structure. ARFIMA, introduced by Granger and Joyeux (1980), models long memory in return series, while FIGARCH, introduced by Baillie, Bollerslev and Mikkelsen (1996), captures long memory in volatility series; the parameter d measures the degree of fractional integration. |
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