ARIMA Model - ARIMA Model

...Whether the ultimate goal of the analysis is prediction or control, the premise of the analysis is to understand the interdependence structure between time points in the time series data of the phenomenon in question and the factors that cause the fluctuations, and there are many problems that can be commonly dealt with for various time series. Recently, there have been highly versatile models such as the ARIMA model by GEPBox and GMJenkins (described below) and research on model selection using information criteria by Akaike Hirotsugu, and together with the separately developed analytical methods for economic time series, future developments and the spread of these methods are expected. The basis of time series analysis is to plot the data and separate the smooth movement of the data as a whole from the components that deviate from that movement (Figure). ...

*Some of the terminology used in reference to the "ARIMA model" is listed below.

Source | Heibonsha World Encyclopedia 2nd Edition | Information

…　分析の最終目的が予測であれ制御であれ，当該する現象の時系列データの時点間の相互依存関係の構造や変動要因の把握が分析の前提となり，多様な時系列に共通に扱える問題も少なくない。最近では，ボックスG.E.P.BoxとジェンキンズG.M.Jenkinsによる後述のARIMAモデルのような汎用性の高いモデルや赤池弘次による情報量基準によるモデル選択の研究などがあり，別途に発達してきた経済時系列の分析手法とあいまって，今後の発展と手法の普及が期待される。　時系列分析の基本は，データを図示し，データ全体のなめらかな動きとその動きからのずれの成分に分けてみることである(図)。…

※「ARIMA モデル」について言及している用語解説の一部を掲載しています。

出典｜株式会社平凡社世界大百科事典 第２版について | 情報