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autoregressive model

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  • 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 — 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 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 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 conditional heteroskedasticity — ( ARCH) A nonlinear stochastic process, where the variance is time varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat tails, much like fractal distributions. The… …   Financial and business terms

  • Autoregressive Conditional Heteroskedasticity - ARCH — An econometric term used for observed time series. ARCH models are used to model financial time series with time varying volatility, such as stock prices. The ARCH concept was developed by economist Robert F. Engle, for which he won the 2003… …   Investment dictionary

  • SETAR (model) — In statistics, Self Exciting Thereshold AutoRegressive (SETAR) models are typically applied to time series data as an extension of autoregressive models, in order to allow for higher degree of flexibility in model parameters through a regime… …   Wikipedia

  • STAR model — In statistics, Smooth Transition Autoregressive (STAR) models are typically applied to time series data as an extension of autoregressive models, in order to allow for higher degree of flexibility in model parameters through a smooth… …   Wikipedia

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