Checking Stationarity of ARMA (2,1) Model

  • Thread starter Thread starter sensitive
  • Start date Start date
  • Tags Tags
    Model
AI Thread Summary
The discussion focuses on determining the stationarity of the ARMA (2,1) model defined by the equation xt + 1/6xt-1 – 1/3xt-2 = εt + 0.7εt-1. To assess stationarity, participants emphasize checking the mean, variance, and covariance to see if they depend on time. The mean is confirmed to be zero, but questions arise about calculating variance and whether to combine AR and MA components. Clarifications are made regarding the expectations of terms in the model, with the consensus that E[xt] and E[Zt] are both zero, leading to discussions on how to derive E[(xt)^2]. The conversation concludes with a suggestion that the variance can be computed by solving the expectation of the squared terms in the equation.
sensitive
Messages
33
Reaction score
0
Is the following ARMA (2,1) model stationary?

xt + 1/6xt-1 – 1/3xt-2 = εt + 0.7εt-1

Inorder to know if a model is stationary. we check the mean, variance and the covariance and check whether it is dependent on time.

Obviously the mean is zero but my problem is how do i carry out the variance can i combine AR and MA together or do i do it separately?

and another problem is what does E[(xt-1)^2] gives me? I know E [(εt)^2] gives σ^2.

Thx
 
Physics news on Phys.org
I am not specialized in ARMA, so I may be missing something when I ask "how is the mean obviously zero"?
 
Well I should have said this earlier.

The time series is a random Gaussian noise so Zt is independent and identically distributed. hence E[Zt] = 0 --> which is the expectation(mean) and E[(Zt)^2] = σ^2 --> expectation variance.

To answer your question the expectation of each term in the equation is 0.
e.g 1/3E[xt-2] = 0
since we assume the process is stationary then E[xt-1] = E[xt] and so E[xt] α E[Zt] = 0
 
Last edited:
How are Z and x related?

If E [ε{t}^2] = σ^2, can't you solve E[(x{t})^2] = E[(-1/6x{t-1} + 1/3x{t-2} + ε{t} + 0.7ε{t-1})^2] if you assume E[(x{t})^2] = E[(x{t-s})^2] ?
 
I was reading documentation about the soundness and completeness of logic formal systems. Consider the following $$\vdash_S \phi$$ where ##S## is the proof-system making part the formal system and ##\phi## is a wff (well formed formula) of the formal language. Note the blank on left of the turnstile symbol ##\vdash_S##, as far as I can tell it actually represents the empty set. So what does it mean ? I guess it actually means ##\phi## is a theorem of the formal system, i.e. there is a...

Similar threads

Back
Top