Autoregressive Moving-Average Generator

The autoregressive moving-average process (ARMA) is a discrete-time and continuous-state random process. This generator randomly chooses parameters of the model from the interval ; you can set the condition for (weak) stationarity.
Part of the output includes the autocorrelation function (ACF), partial autocorrelation function (PACF), and their samples (SACF, SPACF), which serve as a basic tool for model identification in the Box–Jenkins approach by looking for so-called cut-off points.


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[1] T. Cipra, Finanční ekonometrie, Praha, Czech Republic: Ekopress, 2008.
[2] Z. Prášková, Základy náhodných procesů II, Praha, Czech Republic: Karolinum, 2004.
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