![]() For example, to estimate the second time series, we writeĪutoregressive and moving average terms can be combined to estimate ARMA model. ![]() If one needs to estimate the model containing moving average components, ma(1), mar(2), etc terms should be included into the model specification. ![]() Inference and tests can be performed in the same way as it was done for the OLS regression. Figure 3.3: Correlogram of an ARMA( 3, 2) processįigure 3.4: Estimation output of ARMA process
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