ARMA

What is ARMA?

ARMA (AutoRegressive Moving Average) is a forecasting algorithm that combines two components: the autoregressive (AR) component and the moving average (MA) component. It is typically used for time series data where the observations exhibit both autoregressive and moving average properties.

What are the components of ARMA?

Autoregressive (AR) component: This part of the model predicts future values based on a linear combination of past observations. It assumes that the current value depends on its own past values.

Moving Average (MA) component: This part of the model predicts future values based on a linear combination of past forecast errors. It assumes that the current value depends on the error terms from previous predictions.