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ARMA(2,2) Explorer
ECON-5371 · Time Series Analysis and Forecasting — Chapter 3 companion widget
Process Parameters
Drag the sliders to change the data-generating process. The series, ACF, and PACF update live.
Autoregressive
φ₁ (AR lag 1)
0.50
φ₂ (AR lag 2)
0.00
Moving Average
θ₁ (MA lag 1)
0.00
θ₂ (MA lag 2)
0.00
Simulation
Innovation variance σ²
1.00
T = 250 obs · 100 burn-in
Reshuffle draw
Reset
Stationary and invertible.
Simulated Series
Autocorrelation Function (ACF)
Partial Autocorrelation Function (PACF)