ABSTRACT

The autoregressive moving average model, ARMA(p, q), with zero mean can be written (Box and Jenkins, 1976; Harvey, 1981) () https://www.w3.org/1998/Math/MathML"> ϵ j  = ∑ k  = 1 p ϕ k ϵ j − k + η j + ∑ k  = 1 q θ k η j − k , https://s3-euw1-ap-pe-df-pch-content-public-u.s3.eu-west-1.amazonaws.com/9780203748640/4fa687a6-cf95-4be5-a509-4d5b776421ec/content/eq562.tif" xmlns:xlink="https://www.w3.org/1999/xlink"/>