ARIMA Models

  • A. C. Harvey
Part of the The New Palgrave book series (NPA)

Abstract

Autoregressive integrated moving average (ARIMA) models are models which can be fitted to a single time series and used to make predictions of future observations. They owe their popularity primarily to the work of Box and Jenkins (1970), who defined the class of ARIMA and seasonal ARIMA models and provided a methodology for selecting a suitable model from that class.

Keywords

Autocorrelation 

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Bibliography

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Copyright information

© Palgrave Macmillan, a division of Macmillan Publishers Limited 1990

Authors and Affiliations

  • A. C. Harvey

There are no affiliations available

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