Online learning of ARIMA for time series prediction

• Main Authors: LIU, Chenghao, HOI, Steven C. H., ZHAO, Peilin, SUN, Jianling
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2016
• Subjects: Computer Sciences; Databases and Information Systems; Theory and Algorithms
• Online Access: https://ink.library.smu.edu.sg/sis_research/3411; https://ink.library.smu.edu.sg/context/sis_research/article/4412/viewcontent/OnlinelearningofARIMAfortimeseriesprediction.pdf
• Institution: Singapore Management University

Autoregressive integrated moving average (ARIMA) is one of the most popular linear models for time series forecasting due to its nice statistical properties and great flexibility. However, its parameters are estimated in a batch manner and its noise terms are often assumed to be strictly bounded, wh...