STA457H1 Chapter 3: Chapter 3.docx
Document Summary
{xt} is called an arma ( p,q) process ( p 0,q 0) if. X t 1 x t 1 p x t p=zt+ 1 zt 1+ + q zt q( ) ( b)=1 1 b 2 b2 p b p. ( z)=1 1 z p z p 0 z z , z =1. 1+ 1 b+ + q b q=(1+ 1 b+ 2 b2+ )(1 1 b p b p) X t=zt + 1 zt 1+ + q z t q q h j j+ h , h q. X t 1 x t 1 p x t p=zt. Ph xh+1=ph( 1 x h+ 2 x h 1+ + p xh p+1+zh +1)= 1 ph x h+ 2 p h x h 1+ + p p h x h p +1+ph zh+1= 1 x h+ 2 x h 1+ + p x h p+1.
