SARMAProcess

SARMAProcess[{a1,…,ap},{b1,…,bq},{s,{α1,…,αm},{β1,…,βr}},v] represents a weakly stationary seasonal autoregressive moving-average process with ARMA coefficients ai and bj, seasonal order s, seasonal ARMA coefficients αi and βj, and normal white noise with variance v.

SARMAProcess[{a1,…,ap},{b1,…,bq},{s,{α1,…,αm},{β1,…,βr}},Σ] represents a weakly stationary vector SARMA process driven by normal white noise, with covariance matrix Σ.

SARMAProcess[{a1,…,ap},{b1,…,bq},{{s1,…},{α1,…,αm},{β1,…,βr}},Σ] represents a weakly stationary vector SARMA process with multiple seasonal orders si.

SARMAProcess[{a1,…,ap},{b1,…,bq},{s,{α1,…,αm},{β1,…,βr}},v,init] represents a SARMA process with initial data init.

SARMAProcess[c,…] represents a SARMA process with a constant c.

Examples

Create a simple SARMA process:

proc = SARMAProcess[{0.5}, {}, {12, {0.3}, {}}, 1]

Simulate from a SARMA process:

RandomFunction[SARMAProcess[{0.5}, {}, {12, {0.3}, {}}, 1], {0, 100}]

Please visit the official Wolfram Language Reference for more details.