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Results tagged with moving-average
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user 35513
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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Distribution of a MA(1) process
Suppose I have this MA(1) model:
$y_t = \mu + \epsilon_t + \theta \epsilon_{t-1}$ with $\epsilon_t \sim \mathcal{N}(0,\sigma^2)$
The marginal distribution of $y_t$ for all $t$ is $\mathcal{N}(\m …
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