Questions tagged [moving-average-model]

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Motivatation behind moving average models [duplicate]

Suppose I have a time series with mean $0$. If I was assuming an $MA(1)$ model, then my prediction at each time $t$ would be proportional to how "off" my last prediction was. This feels ...
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Why can MA(q) (Moving Average Model with lag q) not predict q timesteps in the future [closed]

I understand that the equation for Moving Average model for lag q is - $$y_t = \mu + \epsilon_t + \theta_1\epsilon_{t-1}+ \theta_2\epsilon_{t-2}+\dots+ \theta_q\epsilon_{t-q}$$ lets say we have ...
30 views

Is there a way to estimate dependence between an observed variable and an unobserved variable?

I'm attempting to do some open-ended exploratory analysis/model building on real-valued time series data. I am explicitly not assuming that all elements of my class of models are linear in the lagged ...
• 327
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Simulations for moving Hidden Markov chain

In the setup for a moving Hidden Markov chain study of some birds, I have to make a simulation study to investigate possible consequences of assuming that the different variables are conditionally ...
• 295
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Independent Gaussian Assumption in MA(q) process

In our statistics course we are learned about MA(q) models. $\epsilon_{t} = X_{t} + \theta_{0}\epsilon_{t-1} + ... + \theta_{q}\epsilon_{t-q}$ But if we think about regression, more like the AR(p) ...