Model ARMA
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Model ARMA By Eni Sumarminingsih, SSi, MM
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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. - PowerPoint PPT Presentation
Transcript of Model ARMA
Model ARMABy 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
O Note that this autocorrelation function decays exponentially as the lag k increases.
O The damping factor is φ, but the decay starts from initial value ρ1, which also depends on θ.
O This is in contrast to the AR(1) autocorrelation, which also decays with damping factor φ but always from initial value ρ0 = 1.
O For example, if φ = 0.8 and θ = 0.4, then ρ1 = 0.523, ρ2 = 0.418, ρ3 = 0.335, and so on.
O Several shapes for ρk are possible, depending on the sign of ρ1 and the sign of φ.
