ARMAモデル

Pythonで学ぶ時系列解析

Rob Reider

Adjunct Professor, NYU-Courant Consultant, Quantopian

$\large \quad \quad R_t = \mu \ + \ \phi \ R_{t-1} \ + \ \epsilon_t \ + \ \theta \ \epsilon_{t-1}$

ARMA・AR・MAモデル間の変換

$R_t = \mu + \phi R_{t-1} + \epsilon_t$

$R_t = \mu + \phi(\mu + \phi R_{t-2} + \epsilon_{t-1}) + \epsilon_t$

$\vdots$

$R_t = \dfrac{\mu}{1-\phi} + \epsilon_t + \phi\epsilon_{t-1} - \phi^2\epsilon_{t-2} + \phi^3\epsilon_{t-3} + ...$

Pythonで学ぶ時系列解析