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ARIMA


General Notes
 

ARIMA = AutoRegressive Integrated Moving Average
  • Related to ARMA

The "I" in ARIMA suggests the possibility of needing to use differencing to improve stationarity of the data.


Also sometimes referred to as Box-Jenkins Models.


 

Assumptions
 

Stationarity (weak stationarity) is a requirement for applying an ARIMA model.


Residuals of the model are iid N(0,s)


The residuals of the model should be white noise.


The coefficients associated with the AR and/or MA terms are related to the roots of polynomials that define the model.  The polynomial roots should pass the Unit Root test.





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