4.8.4 Autoregressive Moving-Average Processes
An n-dimensional autoregressive moving-average process of orders p and q, ARMA(p,q), has form
As the name suggests, it combines an AR(p) model with an MA(q) model of the same dimension n. In applications, ARMA(1,1) processes are common.
Exhibit 4.13 indicates a realization of the univariate ARMA(1,1) process
where W is variance 1 Gaussian white noise.
Exhibit 4.13: A realization of ARMA process [4.58].