SARIMAProcess

SARIMAProcess[{a1, ..., ap}, d, {b1, ..., bq}, {s, {α1, ..., αm}, δ, {β1, ..., βr}}, v] represents a seasonal integrated autoregressive moving-average process with ARIMA coefficients, seasonal order s, and variance v.

• SARIMAProcess[..., Σ] represents a vector SARIMA process with covariance matrix Σ.
• SARIMAProcess[..., init] represents a SARIMA process with initial data init.
• SARIMAProcess[c, ...] represents a SARIMA process with constant c.

Examples

SARIMAProcess[{0.5}, 1, {0.3}, {12, {0.2}, 1, {0.1}}, 1]

RandomFunction[SARIMAProcess[...], {0, 100}]

TimeSeriesModelFit[data, "SARIMA"]

*See the official Wolfram Language Reference for more details.