Matches in DBpedia 2014 for { <http://dbpedia.org/resource/Moving-average_model> ?p ?o }
Showing triples 1 to 34 of
34
with 100 triples per page.
- Moving-average_model abstract "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:where μ is the mean of the series, the θ1, ..., θq are the parameters of the model and the εt, εt−1,... 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 asThus, 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 scale. Fitting the MA estimates is more complicated than with autoregressive models (AR models) because the lagged error terms are not observable. This means that iterative 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, appears directly on the right side of the equation for . In contrast, in an AR model does not appear on the right side of the equation, but it does appear on the right side of the equation, and appears on the right side of the equation, giving only an indirect effect of on . Second, in the MA model a shock affects values only for the current period and q periods into the future; in contrast, in the AR model a shock affects values infinitely far into the future, because affects , which affects , which affects , 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).".
- Moving-average_model wikiPageExternalLink pmc444.htm.
- Moving-average_model wikiPageID "20238265".
- Moving-average_model wikiPageRevisionID "600595564".
- Moving-average_model hasPhotoCollection Moving-average_model.
- Moving-average_model subject Category:Noise.
- Moving-average_model subject Category:Time_series_models.
- Moving-average_model type Assistant109815790.
- Moving-average_model type CausalAgent100007347.
- Moving-average_model type LivingThing100004258.
- Moving-average_model type Model110324560.
- Moving-average_model type Object100002684.
- Moving-average_model type Organism100004475.
- Moving-average_model type Person100007846.
- Moving-average_model type PhysicalEntity100001930.
- Moving-average_model type TimeSeriesModels.
- Moving-average_model type Whole100003553.
- Moving-average_model type Worker109632518.
- Moving-average_model type YagoLegalActor.
- Moving-average_model type YagoLegalActorGeo.
- Moving-average_model comment "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:where μ is the mean of the series, the θ1, ..., θq are the parameters of the model and the εt, εt−1,... are white noise error terms. The value of q is called the order of the MA model.".
- Moving-average_model label "Model MA".
- Moving-average_model label "Modello a media mobile".
- Moving-average_model label "Moving-average model".
- Moving-average_model label "Модель скользящего среднего".
- Moving-average_model sameAs MA(q)_eredu.
- Moving-average_model sameAs Modello_a_media_mobile.
- Moving-average_model sameAs Model_MA.
- Moving-average_model sameAs m.04_0r00.
- Moving-average_model sameAs Q1088984.
- Moving-average_model sameAs Q1088984.
- Moving-average_model sameAs Moving-average_model.
- Moving-average_model wasDerivedFrom Moving-average_model?oldid=600595564.
- Moving-average_model isPrimaryTopicOf Moving-average_model.