Sorry if this sounds elementary but I am struggling to grasp the physical idea behind ARMA (auto-regressive, moving average) process. The "AR" part is intuitive and so is "MA", but put together?
If I model my time series using "AR", I can predict the next sample using linear terms of the previous samples and the difference between the predicted and the real one should then have a normal distribution provided the noise was guassian white (the unpredictable). But what does it mean to say that my time series can be ARMA modelled?
thanks