Regression modelEconometrics / time series
自回归移动平均模型 (ARMA)
ARMA(p,q)模型将平稳时间序列描述为两个组成部分的组合：一个自回归部分，将当前值与其自身的过去p个值进行回归；以及一个移动平均部分，解释过去的q个误差项。它是Box-Jenkins单变量时间序列建模和短期预测方法的基石。
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来源
- Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗
- Brockwell, P. J., & Davis, R. A. (2002). Introduction to Time Series and Forecasting (2nd ed.). Springer. ISBN: 978-0387953519
如何引用本页
ScholarGate. (2026, June 3). Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/arma-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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