Linked Questions
13 questions linked to/from Moving-average model error terms
4
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How are error terms calculated for moving average model in R [duplicate]
For an ARIMA (0,0,1) model, I understand that R follows the equation:
xt = mu + e(t) + theta*e(t-1)
(Please correct me if I am wrong)
I assume e(t-1) is same as the residual of the last observation. ...
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1
vote
1
answer
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How to compute error terms in moving average time series model? [duplicate]
Currently I am studying time series Moving Average model MA(q)
$$X_t -\mu= \epsilon_t + \theta_1\epsilon_{t-1} + \theta_2 \epsilon_{t-2} + ... + \theta_q \epsilon_q$$
where $\theta_1,...,\theta_q$ are ...
- 341
1
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0
answers
66
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Past error terms in MA process [duplicate]
Error terms are calculated when you already have a model, and you calculate them as predicted values - actual values.
Now you want to fit MA process to predict future data points (means you still don'...
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4
votes
1
answer
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What is the reasoning behind defining the MA process in terms of unobserved errors?
Why is the MA(1) process phrased as $X_t = \epsilon_t + \theta\epsilon_{t-1}$, with the $\epsilon_t$ defined as the (unobserved) errors between model fit $\hat X_t$ and observed $X_t$?
Why is the MA ...
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4
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1
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Any difference between AR(1) model and MA(1) model in practice?
Will AR(1) model exactly equals to MA(1) model? since both models use the previous one value for forecasting
- 49
2
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1
answer
4k
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Please help me understand white noise and MA(q) [closed]
I am reading the section about moving average models in Hyndman & Athanasopoulos Forecasting: principles and practice. I am trying to understand the MA(q) model in words.
What is white noise? Is ...
- 81
1
vote
1
answer
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ARIMA equation interpretation
I'm trying to replicate ARIMA (1,0,1)(1,0,1) equation in excel as a formula but I am not able to understand the interpretation of white noise residual e(t) or u(t).If could help me understand the ...
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5
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0
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Interpretation of error term in Moving Average (ARIMA)
I have an elementary question regarding the error term in MA (ARIMA)--
From where does this error term come from?
From what I understood from the question raised earlier in the following link: ...
- 201
3
votes
1
answer
1k
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What does MA(q) model forecast? Future $X_t$ or future $\epsilon_t$
In time series, Moving Average model $MA(q)$ is defined by
$$X_t = \mu + \epsilon_t + \theta_1 \epsilon_{t-1} + \theta_2\epsilon_{t-2} + ... + \theta_q \epsilon_q$$
where $\mu$ is the mean of the ...
- 341
2
votes
1
answer
705
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How can I calculate the parameters of a MA time series model?
I am new to Time Series Analysis and I have problems understanding the MA-model (opposed to the AR model). I read many webpages about it and it is either said that MA is a linear regression with past ...
- 392
1
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1
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Expected Value of an ARMA-GARCH Model
An ARMA(p,q) model is given by
$ \qquad \qquad Y_t = c + \sum\limits_{i=1}^{p}\varphi_iY_{t-i}+\sum\limits_{i=1}^{q}\theta_i\varepsilon_{t-i} + \varepsilon$
with $\varepsilon_t \sim N(0,\sigma^2)$.
...
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1
vote
1
answer
495
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Understanding Moving-Average model in time series
I am not able to understand what the error/deviation/stochastic terms in moving average model stand for? What is the practical significance of the error term. Is the error term difference between the ...
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1
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1
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Moving Averages Model
In an MA model how does one fit a regression line without the help of errors? how does one get the errors without predicting?
The 1st order moving average model, denoted by MA(1) is:
$x_t = \mu + w_t +...
- 187