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Autoregressive

См. также в других словарях:

  • Autoregressive — A stochastic process used in statistical calculations in which future values are estimated based on a weighted sum of past values. An autoregressive process operates under the premise that past values have an effect on current values. A process… …   Investment dictionary

  • autoregressive — adjective Employing autoregression, using a weighted sample of past data to predict future results An autoregressive model was used. See Also: regressive, autoregression …   Wiktionary

  • Autoregressive moving average model — In statistics, autoregressive moving average (ARMA) models, sometimes called Box Jenkins models after the iterative Box Jenkins methodology usually used to estimate them, are typically applied to time series data.Given a time series of data X t …   Wikipedia

  • Autoregressive conditional heteroskedasticity — ARCH redirects here. For the children s rights organization, see Action on Rights for Children. In econometrics, AutoRegressive Conditional Heteroskedasticity (ARCH) models are used to characterize and model observed time series. They are used… …   Wikipedia

  • Autoregressive integrated moving average — In statistics, an autoregressive integrated moving average (ARIMA) model is a generalisation of an autoregressive moving average or (ARMA) model. These models are fitted to time series data either to better understand the data or to predict… …   Wikipedia

  • Autoregressive bedingte Heteroskedastizität — Das von Robert F. Engle in den 80er Jahren entwickelte ARCH Modell (autoregressive conditional heteroskedasticity) beschrieb ursprünglich die Entwicklung der Volatilität. Es geht von der Annahme aus, dass die Varianz der zufälligen Modellfehler… …   Deutsch Wikipedia

  • Autoregressive fractionally integrated moving average — In statistics, autoregressive fractionally integrated moving average models are time series models that generalize ARIMA ( autoregressive integrated moving average ) models by allowing non integer values of the differencing parameter and are… …   Wikipedia

  • Autoregressive conditional duration — In financial econometrics, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated intertrade durations. ACD is analogous to GARCH. Indeed, in a continuous double auction (a… …   Wikipedia

  • 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 …   Investment dictionary

  • Autoregressive — Using past data to predict future data. The New York Times Financial Glossary …   Financial and business terms

  • autoregressive — Using past data or variable of interest to predict future values of the same variable. Bloomberg Financial Dictionary …   Financial and business terms

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