autoregressive integrated moving average (ARIMA (p, d, q)) model

Show Summary Details

Quick Reference

A univariate time series model, in the most general form given by where Δdyt is the dth difference of yt. This is a generalization of the autoregressive moving average (ARMA (p, q) model used to describe a non-stationary process that becomes stationary after being differenced d times. When d is a fraction the process is sometimes referred to as an autoregressive fractionally integrated moving average, or ARFIMA process.

Subjects: Economics.

Reference entries

Users without a subscription are not able to see the full content. Please, subscribe or login to access all content.