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In [[time series analysis]], the '''moving-average''' ('''MA''') model is a common approach for modeling [[univariate]] time series models. The notation MA(''q'') refers to the moving average model of order ''q'':


:<math> X_t = \mu + \varepsilon_t + \theta_1 \varepsilon_{t-1} + \cdots + \theta_q \varepsilon_{t-q} \,</math>
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where &mu; is the mean of the series, the ''θ''<sub>1</sub>, ..., ''θ''<sub>''q''</sub> are the parameters of the model and the ''ε''<sub>''t''</sub>, ''ε''<sub>''t''&minus;1</sub>,... are [[white noise]] error terms. The value of ''q'' is called the order of the MA model. This can be equivalently written in terms of the [[backshift operator]] ''B'' as
 
:<math>X_t = \mu + (1 + \theta_1 B + \cdots + \theta_q B^q)\varepsilon_t.</math>
 
Thus, a moving-average model is conceptually a [[linear regression]] of the current value of the series against current and previous (unobserved) white noise error terms or random shocks. The random shocks at each point are assumed to be mutually independent and to come from the same distribution, typically a [[normal distribution]], with location at zero and constant scaleFitting the MA estimates is more complicated than with [[autoregressive model]]s (AR models) because the lagged error terms are not observable. This means that iterative [[Curve fitting|non-linear fitting]] procedures need to be used in place of linear least squares.  
 
The moving-average model is essentially a [[finite impulse response]] filter applied to white noise, with some additional interpretation placed on it. The role of the random shocks in the MA model differs from their role in the AR model in two ways. First, they are propagated to future values of the time series directly: for example, <math>\varepsilon _{t-1}</math> appears directly on the right side of the equation for <math> X_t</math>. In contrast, in an AR model <math>\varepsilon _{t-1}</math> does not appear on the right side of the <math> X_t</math> equation, but it does appear on the right side of the <math> X_{t-1}</math> equation, and <math> X_{t-1}</math> appears on the right side of the <math> X_t</math> equation, giving only an indirect effect of <math>\varepsilon_{t-1}</math> on <math> X_t</math>. Second, in the MA model a shock affects <math> X</math> values only for the current period and ''q'' periods into the future; in contrast, in the AR model a shock affects <math> X</math> values infinitely far into the future, because <math>\varepsilon _t</math> affects <math> X_t</math>, which affects <math> X_{t+1}</math>, which affects <math> X_{t+2}</math>, and so on forever.
 
Sometimes the [[autocorrelation function]] (ACF) and [[partial autocorrelation function]] (PACF) will suggest that an MA model would be a better model choice and sometimes both AR and MA terms should be used in the same model (see [[Box-Jenkins#Identify p and q]]).
 
==See also==
*[[Autoregressive moving-average model]]
*[[Autoregressive model]]
 
{{noreferences|date=January 2012}}
==External links==
*[http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc444.htm Common approaches to univariate time series]
 
{{Stochastic processes}}
{{NIST-PD}}
 
[[Category:Noise]]
[[Category:Time series models]]

Latest revision as of 18:19, 6 September 2014

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When you find yourself pregnant, you will need to pгocesѕ good nutrition, however, you can certainly still taҝe pleasure in your preferred treats every once in awhile. Ϝor your snacks, have some fresh fruits, nut ρroducts, or greens instead. Allow ߋn your own indulge once in awhile and don't really feel terгible about this.

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