Autoregressive Integrated Moving Average - ARIMA

AAA

DEFINITION of 'Autoregressive Integrated Moving Average - ARIMA'

A statistical analysis model that uses time series data to predict future trends. It is a form of regression analysis that seeks to predict future movements along the seemingly random walk taken by stocks and the financial market by examining the differences between values in the series instead of using the actual data values. Lags of the differenced series are referred to as "autoregressive" and lags within forecasted data are referred to as "moving average."

INVESTOPEDIA EXPLAINS 'Autoregressive Integrated Moving Average - ARIMA'

This model type is generally referred to as ARIMA(p,d,q), with the integers referring to the autoregressive, integrated and moving average parts of the data set, respectively. ARIMA modeling can take into account trends, seasonality, cycles, errors and non-stationary aspects of a data set when making forecasts.

RELATED TERMS
  1. Box-Jenkins Model

    A mathematical model designed to forecast data within a time ...
  2. Quantitative Analysis

    A business or financial analysis technique that seeks to understand ...
  3. Regression

    A statistical measure that attempts to determine the strength ...
  4. Statistics

    A type of mathematical analysis involving the use of quantified ...
  5. Scenario Analysis

    The process of estimating the expected value of a portfolio after ...
  6. Stochastic Modeling

    A method of financial modeling in which one or more variables ...
Related Articles
  1. Simple Moving Averages Make Trends Stand ...
    Active Trading Fundamentals

    Simple Moving Averages Make Trends Stand ...

  2. Does Your Investment Manager Measure ...
    Personal Finance

    Does Your Investment Manager Measure ...

  3. Financial Markets: Random, Cyclical ...
    Fundamental Analysis

    Financial Markets: Random, Cyclical ...

  4. Economic Indicators That Do-It-Yourself ...
    Investing Basics

    Economic Indicators That Do-It-Yourself ...

comments powered by Disqus
Hot Definitions
  1. Correlation

    In the world of finance, a statistical measure of how two securities move in relation to each other. Correlations are used ...
  2. Letter Of Credit

    A letter from a bank guaranteeing that a buyer's payment to a seller will be received on time and for the correct amount. ...
  3. Due Diligence - DD

    1. An investigation or audit of a potential investment. Due diligence serves to confirm all material facts in regards to ...
  4. Certificate Of Deposit - CD

    A savings certificate entitling the bearer to receive interest. A CD bears a maturity date, a specified fixed interest rate ...
  5. Days Sales Of Inventory - DSI

    A financial measure of a company's performance that gives investors an idea of how long it takes a company to turn its inventory ...
  6. Accounts Payable - AP

    An accounting entry that represents an entity's obligation to pay off a short-term debt to its creditors. The accounts payable ...
Trading Center