Statistics Inference for stochastic processes and time series Concept
Moving-average model
Summary
A moving-average model describes each value of a time series as its mean plus a weighted sum of current and recent random shocks. With past shocks the model is written MA(). Its autocorrelation vanishes beyond lag , so it suits series whose memory is short. Together with the autoregressive model it forms the ARMA family.
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| Tag | PEB9DN0AHA |
|---|---|
| URI | m2://PEB9DN0AHA |
| Kind | concept |
| Writing | W0 stub |
| MSC | 62M10, 91B84 |
| Same as |
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