Questions tagged [moving-average-model]

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Intuition behind MA(q) (moving average) time series forecasting model (i.e. 'MA' part of ARIMA) and implementation

The $AR(n)$ part of ARIMA makes sense to me. If $$x_{t+1}=\sum_{i=0}^n a_ix_{t-i}$$ then we are making the intuitive assumption that the next time step will somehow depend on the previous time ...
2
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3answers
352 views

Where does the white noise come from in MA(q) model?

I'm having trouble understanding the intuition of the moving average model. How does summing up a bunch of white noises related to predicting your particular time series data? Suppose I have a MA(q) ...
2
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1answer
521 views

What is a correct implementation of the moving average model

I would like to implement a moving average model in python as when I try to use the statsmodels library, specifically the ARMA(p,q) function and setting $p=0$ I get a lot of convergence errors in the ...
3
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1answer
104 views

Why is auto.arima modeling an AR(1) process as an MA(1)?

Playing around with auto.arima to see how effective it is at model selection. I first simulated an $AR(1)$ process with $X_{t+1} = 0.9 X_t + \epsilon_t$ ...
2
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1answer
265 views

I computed ARMA equation from R manually but never got the same result with predict() or forecast() provided by R

I've got a little problem here. I've been doing analysis with time series data using ARMA, and it always turns out that the parameters I get from R didn't fit to my computation when I do it manually. ...