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Autoregressive integrated moving average
Statistical model used in time series analysis
Autoregressive integrated moving average
In time series analysis used in statistics and econometrics, autoregressive integrated moving average (ARIMA) and seasonal ARIMA (SARIMA) models are generalizations of the autoregressive moving average (ARMA) model to non-stationary series and periodic variation, respectively. All these models are fitted to time series in order to better understand it and predict future values. The purpose of these generalizations is to fit the data as well as possible. Specifically, ARMA assumes that the series is stationary, that is, its expected value is constant in time. If instead the series has a trend (but a constant variance/autocovariance), the trend is removed by "differencing", leaving a stationary series. This operation generalizes ARMA and corresponds to the "integrated" part of ARIMA. Analogously, periodic variation is removed by "seasonal differencing".
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