Working Remotely in Arizona

I have been working remotely since March. My employer is based in LA. In July I moved out of the room I was renting in LA and relocated to Arizona. I still work for the employer. Do I file returns for CA & Arizona and split my salary based on the time in each state?  I did not change my address with my employer although my management knew I was working from Arizona and had moved out of LA - so my W-2 shows I was in CA for all of 2020