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Model ARMA (Autoregresif Moving Average)×Model ARIMA (Autoregressive Integrated Moving Average)×Model Autoregresif (AR)×Model SARIMA×
BidangEkonometrikEkonometrikEkonometrikEkonometrik
KeluargaRegression modelRegression modelRegression modelRegression model
Tahun asal197019701970s (popularised 1976)1970 (first edition); 1976 (revised)
PengasasGeorge E. P. Box and Gwilym M. JenkinsGeorge Box and Gwilym JenkinsGeorge E. P. Box and Gwilym M. JenkinsBox, Jenkins, and Reinsel
JenisTime series modelTime series forecasting modelTime series modelSeasonal time series model
Sumber perintisBox, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0816211043Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744
AliasARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)AR model, AR(p) model, autoregression, AR processSARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component
Berkaitan5665
RingkasanThe ARMA(p,q) model describes a stationary time series as a combination of two components: an autoregressive part that regresses the current value on its own past p values, and a moving average part that accounts for past q error terms. It is the foundational framework of the Box-Jenkins methodology for univariate time series modelling and short-run forecasting.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.An autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is the building block of the Box-Jenkins family of time-series models and is widely used for forecasting stationary economic and financial series.SARIMA extends ARIMA by adding seasonal autoregressive and moving-average operators to capture repeating patterns at fixed intervals — such as monthly, quarterly, or annual cycles. Denoted SARIMA(p,d,q)(P,D,Q)s, it is the standard workhorse for univariate seasonal time series forecasting in econometrics, economics, and official statistics.
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ScholarGateBandingkan kaedah: ARMA model · ARIMA model · Autoregressive model · SARIMA model. Dicapai 2026-06-18 daripada https://scholargate.app/ms/compare