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Time Series (2011)

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1.3 Nonstationary and Seasonal Models

In this section we first introduce a special class of nonstationary ARMA processes called the autoregressive integrated moving average (ARIMA) process. Then we define seasonal ARIMA (SARIMA) processes. After presenting the objects that define these processes we proceed to illustrate how the various functions introduced in Section 1.2 in the context of ARMA models can be applied directly to ARIMA and SARIMA models. The function that converts them to ARMA models is also introduced.