Autoregressive Moving-Average Simulation (First Order)
Autoregressive Moving-Average Simulation (First Order)
This Demonstration shows realizations of a first-order ARMA process , using the random variable drawn from a normal density with mean zero and variance unity. It is governed by the equation:
y
r
y
i
y
i-1
r
i-1
r
i
i=1,…,N
N
The constant is the autoregressive constant (), and the constant is the moving-average constant (). A series of length 400 is created in every case.
a
-1<a<1
b
0<b<1