Statements (29)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
concept
|
| gptkbp:application |
gptkb:signal_processing
financial modeling forecasting |
| gptkbp:assumes |
stationarity
|
| gptkbp:component |
error term
autoregressive coefficients |
| gptkbp:describes |
a time series as a linear function of its past values
|
| gptkbp:estimatedCost |
least squares
Yule-Walker equations |
| gptkbp:form |
X_t = c + φ₁X_{t-1} + ... + φ_pX_{t-p} + ε_t
|
| gptkbp:generalizes |
gptkb:ARIMA_model
ARMA model |
| gptkbp:hasSpecialCase |
ARMA model (when MA part is zero)
|
| https://www.w3.org/2000/01/rdf-schema#label |
AR model
|
| gptkbp:introduced |
gptkb:Norbert_Wiener
gptkb:Andrey_Kolmogorov |
| gptkbp:introducedIn |
1940s
|
| gptkbp:orderNotation |
AR(p)
|
| gptkbp:parameter |
order p
|
| gptkbp:relatedTo |
gptkb:MA_model
gptkb:ARIMA_model ARMA model |
| gptkbp:standsFor |
AutoRegressive model
|
| gptkbp:usedIn |
statistics
time series analysis econometrics |
| gptkbp:bfsParent |
gptkb:ARMA_series
|
| gptkbp:bfsLayer |
8
|