Autoregressive moving average model
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Dina statistik, model autoregressive moving average (ARMA) nyaeta aplikasi tipikal nu dipake dina data deret waktu.
Anggap urang boga dua deret waktu , x1, x2, x3, ..., jeung y1, y2, y3, .... Deret x sacara konvensional teu bisa "sacara pasti" di-prediksi ku pangaruh atawa parobahan y. Urang dihareokeun keur ngira-ngira yt. Lamun model prediksi ngan miboga watesan x, model disebut model moving average (MA). Lamun model prediksi ngan miboga watesan y, model disebut model autoregressive (AR). Lamun prediski miboga duanana watesan boh x sarta y terms, model disebut model autoregressive moving average (ARMA).
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[édit] Model moving average
Lambang MA(q) hartina model moving average mibanda watesan q. Model MA(q) bisa dituliskeun
keur sababraha koefisien θ1, ..., θq. Model moving average model ngarupakeun hal penting dina finite impulse response filter nu mibanda sawangan tambahan dina eta tempat.
[édit] Model Autoregressive
Lambang AR(p) hartina model autoregressive mibanda watesa p. Model AR(p) bisa dituliskeun
keur sababaraha koefisien φ1, ..., φp. Model autoregressive model ngarupakeun hal penting dina infinite impulse response filter nu mibanda sawangan tambahan dina eta tempat.
[édit] Model Autoregressive moving average
Lambang ARMA(p, q) hartina model mibanda watesan p autoregressive sarta watesan q moving average. Ieu model ngarupakeun jumlah tina model AR jeung MA,
[édit] Generalisasi
Kawengku kana yt dina nilai x atawa y samemehna dianggap bakal linier iwal dina kasus husus. Lamun dependen nonlinear, model sacara husus disebut nonlinear moving average (NMA), nonlinear autoregressive (NAR), atawa model nonlinear autoregressive moving average (NARMA) .
Model autoregressive moving average models bisa digeneralisir make cara sejen. Tempo oge model autoregressive conditional heteroskedasticity (ARCH) sarta model autoregressive integrated moving average (ARIMA).
[édit] Rujukan
- George E.P. Box and F.M. Jenkins. Time Series Analysis: Forecasting and Control, second edition. Oakland, CA: Holden-Day, 1976.