A q-order moving average process, denoted MA(q) takes the form
Thinking of the subscripts i as representing time, we see that the value of y at time i+1 is a linear function of past errors. We assume that the error terms are independently distributed with a normal distribution with mean zero and a constant variance σ2.
Topics:
- Basic Concepts
- Infinite-order Moving Average
- Invertibility
- Finding Model Coefficients using ACF
- Finding Model Coefficients using Solver
