ARMA unplugged

This week, we dig deeper into the ARMA stochastic process for the first entry in our “Unplugged” (or “Under the Hood”) tutorial series. We’ve featured ARMA models in a few of our tutorials before, but this week we’ll explore them in rich detail, starting with a clear definition of the process and moving on from there.

We’ll take you through ARMA’s underlying assumptions, exploring the role of innovations or shocks as they affect the overall ARMA machine. Finally, we take a close look at how an ARMA process produces a stationary time series with a stable, finite, long-run mean, and variance.

ARMA unplugged

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