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.

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