Definition:Moving Average Model

Definition
Let $S$ be a stochastic process based on an equispaced time series.

Let the values of $S$ at timestamps $t, t - 1, t - 2, \dotsc$ be $z_t, z_{t - 1}, z_{t - 2}, \dotsc$

Let $\tilde z_t$ be the deviation from a constant mean level $\mu$:
 * $\tilde z_t = z_t - \mu$

Let $a_t, a_{t - 1}, a_{t - 2}, \dotsc$ be a sequence of independent shock at timestamps $t, t - 1, t - 2, \dotsc$,

Let $M$ be a model where the current value of $\tilde z_t$ is expressed as a finite linear aggregate of the shocks:


 * $\tilde z_t = a_t - \theta_1 a_{t - 1} - \theta_2 a_{t - 2} - \dotsb - \theta_q a_{t - q}$

$M$ is known as a moving average (MA) process of order $p$.