Questions tagged [moving-average-model]
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7
questions
1
vote
0answers
28 views
Moving Average Model over error terms
This is a basic question on Box-Jenkins MA models. As I understand, an MA model is basically a linear regression of time-series values Y against previous error terms et,...,et−n. That is, the ...
1
vote
0answers
98 views
How to fit a MA(q) model for forecasting?
I have some trouble with understanding how to fit a pure MA(q) (Moving-Average Model of order q) to a time-series in order to forecast future values.
We do not have any past forecasting errors, ...
3
votes
0answers
248 views
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 ...
5
votes
3answers
794 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 is summing up a bunch of white noises related to predicting your particular time series data?
Suppose I have a MA(q) ...
4
votes
1answer
1k 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
votes
1answer
180 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
votes
1answer
589 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.
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