Tag Archives: Characteristic Function

ISSUES RELATED WITH ARMA (P,Q) PROCESS (Published)

Suppose that be an ARMA (p,q) process with white noise (error) process . Let and be the characteristic functions of and respectively. In this paper, a general formula to represent in terms of is obtained. By using this formula , we investigate about the distribution of ARMA(p,q) process where it’s white noise follow Normal , Cauchy , inverse Gaussian and Gamma distributions . Instead of the hard traditional al method, an easy general formula to determine the coefficients for the causal ARMA (p,q) process will be presented also

Keywords: ARMA (P, Abid Formula, Causal Function, Characteristic Function, Q).

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