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Model ARMA (Autoregresívny kĺzavý priemer)×Model kĺzavých priemerov (MA)×Model SARIMA×
OdborEkonometriaEkonometriaEkonometria
RodinaRegression modelRegression modelRegression model
Rok vzniku197019701970 (first edition); 1976 (revised)
TvorcaGeorge E. P. Box and Gwilym M. JenkinsBox and JenkinsBox, Jenkins, and Reinsel
TypTime series modelLinear time series modelSeasonal time 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., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744Box, G. E. P., Jenkins, G. M., & Reinsel, G. C. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0130607744
Ďalšie názvyARMA, Box-Jenkins model, autoregressive moving average, AR(p)MA(q)MA model, MA(q) process, moving-average process, Box-Jenkins MASARIMA, seasonal ARIMA, Box-Jenkins seasonal model, ARIMA with seasonal component
Príbuzné555
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 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.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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ScholarGatePorovnať metódy: ARMA model · Moving Average Model · SARIMA model. Získané 2026-06-18 z https://scholargate.app/sk/compare