ARMA
Last updated August 16, 2023
What is ARMA?
ARMA (AutoRegressive Moving Average) is a that combines two components: the autoregressive (AR) component and the (MA) component. It is typically used for 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 . It assumes that the current value depends on the error terms from previous predictions.