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Article | REF: TE5220 V1

Temporal series or chronological series

Author: Michel PRENAT

Publication date: August 10, 2012, Review date: January 6, 2020

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5. ARMA process

5.1 Definition – Properties – Practical significance

ARMA (Autoregressive Moving Average) models can be used to account for the behavior of a large number of stationary random processes.

The process (X t ), where t∈ℤ , is an ARMA (p, q ) of zero mean if :

{(Xt)  est  stationnaire 
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