The ARMA model is non-linear regarding the Moving Average parameters 
, see expression (1.29). However this model is linear regarding the data.
If we are interested in the non-linearities, then we may apply
many other non-linear models, including the ones that are non-linear regarding the data, too.
In this book we will discuss two of them. In this section the ANN model will be considered. In the next chapter, we shall introduce
a bilinear term into the ARMA model.