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  2. Autoregressive moving-average model - Wikipedia

    en.wikipedia.org/wiki/Autoregressive_moving...

    MATLAB includes functions such as arma, ar and arx to estimate autoregressive, exogenous autoregressive and ARMAX models. See System Identification Toolbox and Econometrics Toolbox for details. Julia has community-driven packages that implement fitting with an ARMA model such as arma.jl.

  3. Box–Jenkins method - Wikipedia

    en.wikipedia.org/wiki/Box–Jenkins_method

    For many series, the period is known and a single seasonality term is sufficient. For example, for monthly data one would typically include either a seasonal AR 12 term or a seasonal MA 12 term. For Box–Jenkins models, one does not explicitly remove seasonality before fitting the model.

  4. The enhancement to ordinary ARMA models is as follows: Take the original data series and high-pass filter it with fractional differencing enough to make the result stationary, and remember the order d of this fractional difference, d usually between 0 and 1 ... possibly up to 2+ in more extreme cases.

  5. Autoregressive integrated moving average - Wikipedia

    en.wikipedia.org/wiki/Autoregressive_integrated...

    Specifically, ARMA assumes that the series is stationary, that is, its expected value is constant in time. If instead the series has a trend (but a constant variance/autocovariance), the trend is removed by "differencing", [1] leaving a stationary series. This operation generalizes ARMA and corresponds to the "integrated" part of ARIMA ...

  6. Lag operator - Wikipedia

    en.wikipedia.org/wiki/Lag_operator

    Polynomials of the lag operator can be used, and this is a common notation for ARMA (autoregressive moving average) models. For example, = = = (=) specifies an AR(p) model.A polynomial of lag operators is called a lag polynomial so that, for example, the ARMA model can be concisely specified as

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  8. Autoregressive conditional heteroskedasticity - Wikipedia

    en.wikipedia.org/wiki/Autoregressive_conditional...

    The lag length p of a GARCH(p, q) process is established in three steps: . Estimate the best fitting AR(q) model = + + + + = + = +. Compute and plot the ...

  9. IB Group 1 subjects - Wikipedia

    en.wikipedia.org/wiki/IB_Group_1_subjects

    Literature and performance (known as Text and performance in the pilot stage) is a new interdisciplinary subject, available from first examinations in 2013. [5] It is a combination of literature and theatre arts, thus satisfying both the requirements of group 1 and group 6 .

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