ARIMA Modeling

Premium lesson

This lesson requires a premium membership to access.

Premium membership includes unlimited access to all courses, quizzes, downloadable resources, and future content updates.

Previous:Time Series Models Next:Simulate White Noise (WN) in R

If we combine differencing with autoregression and a moving average model, we obtain a non-seasonal ARIMA model. ARIMA is an acronym for AutoRegressive Integrated Moving Average model. The term "integration" in this context is the reverse of differencing.

ARIMA model is represented as ARIMA(p,d,q)

Where:

p = order of the autoregressive part
d = degree of first differencing involved
q = order of the moving average part