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The general ARMA model was described in the 1951 thesis of Peter Whittle, who used mathematical analysis (Laurent series and Fourier analysis) and statistical inference. [ 12 ] [ 13 ] ARMA models were popularized by a 1970 book by George E. P. Box and Jenkins, who expounded an iterative ( Box–Jenkins ) method for choosing and estimating them.
In time series analysis, the moving-average model (MA model), also known as moving-average process, is a common approach for modeling univariate time series. [1] [2] The moving-average model specifies that the output variable is cross-correlated with a non-identical to itself random-variable.
Time series analysis comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series forecasting is the use of a model to predict future values based on previously observed values.
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.
A First Course on Time Series Analysis – an open source book on time series analysis with SAS (Chapter 7) Box–Jenkins models in the Engineering Statistics Handbook of NIST; Box–Jenkins modelling by Rob J Hyndman; The Box–Jenkins methodology for time series models by Theresa Hoang Diem Ngo
ROOT Analysis Framework 6.24.00 (15 April 2021) Yes GNU GPL: GUI: C++ C++, Python SageMath >100 developers worldwide 9.5 (30 January 2022; 2 years ago (10] Yes GNU GPL: CLI & GUI: Python, Cython Python Salstat: Alan J. Salmoni, Mark Livingstone 16 May 2014 () Yes GNU GPL: CLI & GUI: Python, NumPy, SciPy: Python SAS: SAS Institute
In time series analysis, singular spectrum analysis (SSA) is a nonparametric spectral estimation method. It combines elements of classical time series analysis, multivariate statistics , multivariate geometry, dynamical systems and signal processing .
Download as PDF; Printable version; In other projects Wikidata item; ... Help. Pages in category "Nonlinear time series analysis" The following 13 pages are in this ...