I'm trying to map the information R prints for an ARIMA model to the coefficients in the formulas that I'm familiar with. Here's what I have so far

  • ar1 = $\varphi_1$, ar2 = $\varphi_2$, ...
  • intercept = $c + \varepsilon_t$ ???
  • ma1 = $\theta_1$, ma2 = $\theta_2$, ...
  • mean = $\mu + \varepsilon_t$ ??????

where an AR(p) model is defined as

$X_t = c + \sum_{i=1}^p \varphi_i X_{t-i}+ \varepsilon_t$

and an MA(q) model is given by

$X_t = \mu + \varepsilon_t + \sum_{i=1}^q \theta_i \varepsilon_{t-i}$

Note: I have read Definitions of coefficients from Arima {forecast}, but it doesn't discuss the "intercept" and "mean" parameters.


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