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streetlegend
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Joined: September 14th, 2010, 1:49 am

ARIMA notation

December 1st, 2010, 5:46 pm

Hi guys,I have a question about ARIMA notation - ie. ARIMA (1,0,1)From what I understand, the notation explains the (autoregressive processes, unit roots, moving average processes).So take for instance Y(t) is an AR(2) process with 1 unit root and 1 moving average process.Taking the difference, deltaY(t) is an AR(1) process with 0 unit roots and 1 moving average processes.I understand that the notation for deltaY(t) = ARIMA(1,0,1)However, reading in notes, the Y(t) notation = ARIMA(1,1,1)I am wondering why the Y(t) notation doesn't = ARIMA(2,1,1)?Thanks.
 
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tagoma
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Joined: February 21st, 2010, 12:58 pm

ARIMA notation

December 5th, 2010, 12:09 pm

what you are asking is not very clear (to me)but you almost have everything as you write:Quotethe notation explains the (autoregressive processes, unit roots, moving average processes)let the ARIMA(p,d,q) be.then :p = order of the autoregressive partd = order of differencing leading to a stationary ARMA processq = order of the moving average part
Last edited by tagoma on December 4th, 2010, 11:00 pm, edited 1 time in total.
 
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StructCred
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Joined: February 1st, 2007, 1:59 pm

ARIMA notation

December 5th, 2010, 5:26 pm

Because ARIMA(0,1,0) is an AR(1) process with coefficient of 1?
 
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tagoma
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Joined: February 21st, 2010, 12:58 pm

ARIMA notation

December 5th, 2010, 6:17 pm

ARIMA(0,1,0) is an I(1) process, that is a random walk.
 
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streetlegend
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Joined: September 14th, 2010, 1:49 am

ARIMA notation

December 14th, 2010, 3:30 am

QuoteOriginally posted by: edouardwhat you are asking is not very clear (to me)My question is why an AR(2) process is noted as ARIMA(1,x,x) as opposed to ARIMA(2,x,x)
 
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tagoma
Posts: 18849
Joined: February 21st, 2010, 12:58 pm

ARIMA notation

December 14th, 2010, 8:31 am

Quotewhy an AR(2) process is noted as ARIMA(1,x,x) where did you read that ? what is your source ?
Last edited by tagoma on December 13th, 2010, 11:00 pm, edited 1 time in total.