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Model ARMA

Model ARMA. By Eni Sumarminingsih , SSi , MM. we say that { Yt } is a mixed autoregressive moving average process of orders p and q , respectively ; we abbreviate the name to ARMA( p , q ). The ARMA(1,1) Model.

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Model ARMA

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  1. Model ARMA By EniSumarminingsih, SSi, MM

  2. we say that {Yt} is a mixed autoregressive moving average process of orders p and q, respectively; we abbreviate the name to ARMA(p,q)

  3. The ARMA(1,1) Model

  4. Note that this autocorrelation function decays exponentially as the lag k increases. • The damping factor is φ, but the decay starts from initial value ρ1, which also depends on θ. • This is in contrast to the AR(1) autocorrelation, which also decays with damping factor φ but always from initial value ρ0 = 1. • For example, if φ = 0.8 and θ = 0.4, then ρ1= 0.523, ρ2 = 0.418, ρ3 = 0.335, and so on. • Several shapes for ρkare possible, depending on the sign of ρ1 and the sign of φ.

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