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Autoregressive moving average (arma) model

Словарь по экономике и эконометрике
    A time series model where the current value of a series is fitted with its previous values (the autoregressive part) and the current and previous values of an error term (the moving average part).




Autoregressive, английский
  1. Using past data or variable of interest to predict future values of the same variable.

  2. A term, adapted from time series models, that refers to a model that depends on previous states. see also: autoregressive network.


Autoregressive (ar) model, английский
    A time series model where the current value of a series is fitted with its previous values.


Autoregressive conditional heteroscedasticity (arch) model, английский
    A time series model for volatilities.