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In time series analysis, the moving-average (MA) model is a common approach for modeling univariate time series. The moving-average model specifies that the output variable depends linearly on the current and various past values of a stochastic (imperfectly predictable) term.
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A question about an estimation using moving average and moving standard deviation?
Given a time series data $\{X_t\}_{t = 0}^\infty$, what does its moving average and moving standard deviation estimate when there is no assumption that $\mathbb{E}[X_t] = \text{const}, \forall t$? Sup …