I Question about ARMA process: Changing a Stochastic Process into a Transfer Function

AI Thread Summary
The discussion focuses on converting an ARMA process into a transfer function. A participant questions the correctness of their equation, receiving feedback that the powers of z are off by one due to single-step signal delays. Another contributor suggests using z^{-1} for delays instead of z, providing a corrected equation for the transfer function. The exchange highlights the importance of understanding time indexing in stochastic processes. Overall, the conversation emphasizes the nuances of transforming ARMA processes into transfer functions accurately.
e0ne199
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I want to change arma process into transfer function, I have done it but I am unsure if it is correct or not
hello everyone, I have a question about stochastic process (ARMA process) that looks like this :
1728286558931.png

I would like to change it into a transfer function, so the final result looks like this :
1728286499447.png

My question is, is this equation correct? if it is not correct, what should I change for this equation? any response is really appreciated, thx.
 
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I think that's not exactly right, but it's a good try. The right side has single-step signal delays of 1, 2, and 3. So your powers of ##z## (on one side or the other) are off by 1. (I am assuming that the index in your variables are related to time such that k-1 is a step backward in time, a one step delay, ##1/z##)
I am not an expert at this, but here is what I would do. I prefer to work with the ##z^{-1}## single-step delay, rather than the ##z## look into the future, but that is just a matter of preference. I would get:
##W(z)(1-1.08z^{-1}+0.81z^{-2})=V(z)(z^{-1}+0.1z^{-2}-0.9z^{-3})##
So ##W(z)/V(z) = (z^2+0.1z-0.9)/(z^3-1.08z^2+0.81z)##.
 
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FactChecker said:
I think that's not exactly right, but it's a good try. The right side has single-step signal delays of 1, 2, and 3. So your powers of ##z## (on one side or the other) are off by 1. (I am assuming that the index in your variables are related to time such that k-1 is a step backward in time, a one step delay, ##1/z##)
I am not an expert at this, but here is what I would do. I prefer to work with the ##z^{-1}## single-step delay, rather than the ##z## look into the future, but that is just a matter of preference. I would get:
##W(z)(1-1.08z^{-1}+0.81z^{-2})=V(z)(z^{-1}+0.1z^{-2}-0.9z^{-3})##
So ##W(z)/V(z) = (z^2+0.1z-0.9)/(z^3-1.08z^2+0.81z)##.
hahaha thank you, that explanation is what I have been missing until now 😁
 
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