Autoregressive integrated moving average (ARIMA (p,q,d)) model

Updated: Aug 20, 2021

A univariate time series model, in the most general form given by

Autoregressive integrated moving average (ARIMA (p,q,d)) model

This is a generalization of the autoregressive moving average (ARMA (p,q)) model used to describe a non-stationary process that becomes stationary after being differenced d times. When d is a fraction the process is sometimes referred to as an autoregressive fractionally integrated moving average, or ARFIMA process.

Reference: Oxford Press Dictonary of Economics, 5th edt.

Sources & references
Risk disclaimer
James Knight
Editor of Education
James is the Editor of Education for Invezz, where he covers topics from across the financial world, from the stock market, to cryptocurrency, to macroeconomic markets.... read more.