Advanced Forecasting with Python: With State-of-the-Art-Models Including LSTMs, Facebook’s Prophet, and Amazon’s DeepAR

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2021

J. KorstanjeAdvanced Forecasting with Pythonhttps://doi.org/10.1007/978-1-4842-7150-6_5

5. The ARMA Model

Joos Korstanje¹  

(1)

Maisons Alfort, France

 

In this chapter, you will discover the ARMA model. It is a combination of the AR model and the MA model, which you have seen in the two previous chapters. Since the theory of this chapter should be already relatively familiar to you, this chapter will also introduce a few additional model quality indicators that are valid for the ARMA model but can also be used for the AR and MA models separately.

The Idea Behind the ARMA Model

The ARMA model is a simple combination of the AR and MA models. The idea behind combining ...