What is the equation for arma 1 1 model?

What is the equation for arma 1 1 model?

What is the equation for arma 1 1 model?

The special case, ARMA(1,1), is defined by linear difference equations with constant coefficients as follows. where {Zt} ∼ WN(0,σ2) and φ + θ = 0. Hence, when φ = 0 then ARMA(1,1) ≡ MA(1) and we denote such a process as ARMA(0,1). Similarly, when θ = 0 then ARMA(1,1) ≡ AR(1) and we denote such process as ARMA(1,0).

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  • 2024-01-01 23:06:24
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