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Model ARMA (Autoregresívny kĺzavý priemer)×Model ARIMA (Autoregressive Integrated Moving Average)×Autoregregresný model (AR)×
OdborEkonometriaEkonometriaEkonometria
RodinaRegression modelRegression modelRegression model
Rok vzniku197019701970s (popularised 1976)
TvorcaGeorge E. P. Box and Gwilym M. JenkinsGeorge Box and Gwilym JenkinsGeorge E. P. Box and Gwilym M. Jenkins
TypTime series modelTime series forecasting modelTime series model
Pôvodný zdrojBox, 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: 978-0816211043
Ďalšie názvyARMA, 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 process
Príbuzné566
ZhrnutieThe 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.
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ScholarGatePorovnať metódy: ARMA model · ARIMA model · Autoregressive model. Získané 2026-06-18 z https://scholargate.app/sk/compare