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| 自己回帰和分移動平均モデル (ARIMA Model)× | 移動平均 (MA) モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年 | 1970 | 1970 |
| 提唱者≠ | George Box and Gwilym Jenkins | Box and Jenkins |
| 種類≠ | Time series forecasting model | Linear time series model |
| 原典≠ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ | Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744 |
| 別名 | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) | MA model, MA(q) process, moving-average process, Box-Jenkins MA |
| 関連≠ | 6 | 5 |
| 概要≠ | 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. | The Moving Average model of order q — written MA(q) — expresses the current value of a time series as a linear combination of the current and past random shocks (innovations). Unlike the AR model which uses lagged values of the series itself, the MA model uses lagged error terms, making it well-suited for capturing short-lived disturbances that dissipate over q periods. |
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