Autoregressive Moving Average Processes (ARMA)

Uwe Hassler

Chapter 3 in Stochastic Processes and Calculus, 2016, pp 45-75 from Springer

Abstract: Abstract This chapter is concerned with the modelling of serial correlation (or autocorrelation) that is characteristic of many time series dynamics. To that end we cover a class of stochastic processes widely used in practice.

Keywords: Impulse Response; Complex Root; ARMA Process; Absolute Summability; Stochastic Difference Equation (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/978-3-319-23428-1_3

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