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This document introduces the ARMA(1,1) time series model. It defines the ARMA(1,1) model using a linear difference equation with constant coefficients. The ARMA(1,1) model generalizes both the AR(1) and MA(1) models. The document discusses the conditions for causality and invertibility of the ARMA(1,1) process. It also derives the autocovariance function and autocorrelation function of the ARMA(1,1) process.

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t t

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EN