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autoregressive moving average process

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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 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

  • Moving-average model — In time series analysis, the moving average (MA) model is a common approach for modeling univariate time series models. The notation MA(q) refers to the moving average model of order q: where μ is the mean of the series, the θ1, ..., θq are the… …   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

  • Stationary process — In the mathematical sciences, a stationary process (or strict(ly) stationary process or strong(ly) stationary process) is a stochastic process whose joint probability distribution does not change when shifted in time or space. Consequently,… …   Wikipedia

  • Cyclostationary process — A cyclostationary process is a signal having statistical properties that vary cyclically with time.[1] A cyclostationary process can be viewed as multiple interleaved stationary processes. For example, the maximum daily temperature in New York… …   Wikipedia

  • Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Process — An econometric term developed in 1982 by Robert F. Engle, an economist and 2003 winner of the Nobel Memorial Prize for Economics to describe an approach to estimate volatility in financial markets. There are several forms of GARCH modeling. The… …   Investment dictionary

  • List of statistics topics — Please add any Wikipedia articles related to statistics that are not already on this list.The Related changes link in the margin of this page (below search) leads to a list of the most recent changes to the articles listed below. To see the most… …   Wikipedia

  • Time series — Time series: random data plus trend, with best fit line and different smoothings In statistics, signal processing, econometrics and mathematical finance, a time series is a sequence of data points, measured typically at successive times spaced at …   Wikipedia

  • Wold's theorem — This article is about the theorem as used in time series analysis. For an abstract mathematical statement, see Wold decomposition. In statistics, Wold s decomposition or the Wold representation theorem (not to be confused with the Wold theorem… …   Wikipedia

  • Exponential smoothing — is a technique that can be applied to time series data, either to produce smoothed data for presentation, or to make forecasts. The time series data themselves are a sequence of observations. The observed phenomenon may be an essentially random… …   Wikipedia

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