Definition:Box-Jenkins Model/ARMA

Definition
Let $S$ be a stochastic process based on an equispaced time series.

Let the values of $S$ at timestamps $t, t - 1, t - 2, \dotsc$ be $z_t, z_{t - 1}, z_{t - 2}, \dotsc$

Let $\tilde z_t, \tilde z_{t - 1}, \tilde z_{t - 2}, \dotsc$ be deviations from a constant mean level $\mu$:
 * $\tilde z_t = z_t - \mu$

Let $a_t, a_{t - 1}, a_{t - 2}, \dotsc$ be a sequence of independent shock at timestamps $t, t - 1, t - 2, \dotsc$,

Let $M$ be a model where the current value of $\tilde z_t$ is expressed as a combination of a finite linear aggregate of the past values along with a finite linear aggregate of the shocks:


 * $\tilde z_t = \phi_1 \tilde z_{t - 1} + \phi_2 \tilde z_{t - 2} + \dotsb + \phi_p \tilde z_{t - p} + a_t - \theta_1 a_{t - 1} - \theta_2 a_{t - 2} - \dotsb - \theta_q a_{t - q}$

$M$ is known as an autoregressive moving average process, usually referred as an ARMA process.