Machine Learning is Fun – Part 12 – ARIMA - KnowHowSpot

Actually, it is a combination of two models – AR and MA. Let me make it clear. Auto Regressive means when there is some correlation between values in a time series and the values that precede and succeed them. In a model, the value of AR determined by partial auto correlation which is the partial autocorrelation function gives the partial correlation of a time series with its own lagged values. A moving-average model is conceptually a linear regression of the current value of the series against current and previous (observed) white noise error terms.