# ARIMA

##### Posted on July 11, 2017 0 Comments

Any time series without a constant mean over time is nonstationary.

# General Model

where $\mu_t$ is a nonconstant mean function and $X_t$ is a zero-mean, stationary series.

# Stationary Through Differencing

the first difference of $Y_t$

# ARIMA Models

A time series $\{Y_t\}$ is said to follow an integrated autoregressive moving average model if the $d$-th difference $W_t=\nabla^dY_t$ is a stationary ARMA process.

If $\{W_t\}$ follows an ARMA(p, q) model, we say $\{Y_t\}$ is an ARIMA(p, d, q) process.

# References

Time Series Analysis With Applications in R Second Edition

Published in categories Time Series