Introduction The ARIMA (autoregressive integrated moving average) models are also known as Box–Jenkins models. ARIMA models are applied in some cases where data show evidence of non-stationarity, where an initial differencing step (corresponding to the “integrated” part of the model) can be applied one or more times to eliminate the non-stationarity.
The AR part of ARIMA indicates that the evolving variable of interest is regressed on its own lagged (i.