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In time series analysis, the moving-average model ( MA model ), also known as moving-average process, is a common approach for modeling univariate time series. [ 1][ 2] The moving-average model specifies that the output variable is cross-correlated with a non-identical to itself random-variable. Together with the autoregressive (AR) model, the ...
Structural break. In econometrics and statistics, a structural break is an unexpected change over time in the parameters of regression models, which can lead to huge forecasting errors and unreliability of the model in general. [ 1][ 2][ 3] This issue was popularised by David Hendry, who argued that lack of stability of coefficients frequently ...
Autoregressive model. In statistics, econometrics, and signal processing, an autoregressive ( AR) model is a representation of a type of random process; as such, it can be used to describe certain time-varying processes in nature, economics, behavior, etc. The autoregressive model specifies that the output variable depends linearly on its own ...
The general ARMA model was described in the 1951 thesis of Peter Whittle, Hypothesis testing in time series analysis, and it was popularized in the 1970 book by George E. P. Box and Gwilym Jenkins. Given a time series of data , the ARMA model is a tool for understanding and, perhaps, predicting future values in this series. The AR part involves ...
Autoregressive integrated moving average. In statistics and econometrics, and in particular in time series analysis, an autoregressive integrated moving average ( ARIMA) model is a generalization of an autoregressive moving average (ARMA) model. To better comprehend the data or to forecast upcoming series points, both of these models are fitted ...
The trend component does not have to be linear. [1], the cyclical component at time t, which reflects repeated but non-periodic fluctuations. The duration of these fluctuations depend on the nature of the time series., the seasonal component at time t, reflecting seasonality (seasonal variation). A seasonal pattern exists when a time series is ...
Time series. In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily ...
TRL. Technology scouting. v. t. e. Trend analysis is the widespread practice of collecting information and attempting to spot a pattern. In some fields of study, the term has more formally defined meanings. [ 1][ 2][ 3] Although trend analysis is often used to predict future events, it could be used to estimate uncertain events in the past ...