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

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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.

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