ARIMA/SARIMA vs LSTM with Ensemble learning Insights for Time Series Data

AR models express the current value of the time series linearly in terms of its previous values and the current residual, whereas MA models express the current value of the time series linearly in terms of its current and previous residual series. ARMA models are a combination of AR and MA models, in which the current value of the time series is expressed linearly in terms of its previous values and in terms of current and previous residual series. The time series defined in AR, MA, and ARMA models are stationary processes, which means that the mean of the series of any of these models and the covariance among its observations do not change with time. For non-stationary time series, transformation of the series to a stationary series has to be performed first. ARIMA model generally fits the non-stationary time series based on the ARMA model, with a differencing process which effectively transforms the non-stationary data into a stationary one.