Autoregressive integrated moving average

An autoregressive integrated moving average (ARIMA) model is a combination of the following elements:

  • Autoregressive operator: We have already learned what this means; just to reiterate, it is the lags of the stationarized series. It is denoted by p, which is nothing but the number of autoregressive terms. The PACF plot yields this component.
  • Integration operator: A series that needs to be differenced to be made stationary is said to be an integrated version of a stationary series. It is denoted by d, which is the amount of differencing that is needed to transform the nonstationary time series into a stationary one. This is done by subtracting the observation from the current period from the previous ...

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