ARMA process
Temporal series or chronological series

Article REF: TE5220 V1

ARMA process
Temporal series or chronological series

Author : Michel PRENAT

Publication date: August 10, 2012, Review date: January 6, 2020 | Lire en français

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5. ARMA process

5.1 Definition – Properties – Practical significance

ARMA (Autoregressive Moving Average) models can be used to account for the behavior of a large number of stationary random processes.

The process (X _t ), where $t \in ℤ$ , is an ARMA (p, q ) of zero mean if :

{\begin{array}{l} (X_{t}) est stationnaire \end{array}

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Bibliography

(1) - ALLAN (D.W.) - Statistics of atomic frequency standards. - IEEE Proceedings, 54, p. 221-235 (1966).
(2) - AZENCOTT (R.), DACUNHA-CASTELLE (D.) - Séries d'observations irregulières. Modélisation et prévision. - Masson (1984)....

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