ON THE CORRELATION STRUCTURE OF THE DOUBLY STOCHASTIC TIME SERIES AR-MA MODEL AND SOME COMPARISON WITH THE ARWA MODEL
关于双重时序AR-MA模型的相关结构及与ARMA模型的比较

On the basis of 4], the correlation structure of the doubly stochastic time series AR-MA model is discussed in this paper. without assuming that the noise processes are Gaussian, the conjecture given by An Hongzhi2] on the correlation structure is proved to be correct. As an introduction to the method, we explicitly construct the correlation structure of AR(1)-MA(3) model. We also give some comparative discussions with the ARMA model.