Definition:Moving Average Model/Nomenclature
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Nomenclature for Moving Average Model
The name moving average model is a bit of a misnomer because:
- $\text{(a)}: \quad$ the weights $1, -\theta_1, -\theta_2, \ldots$ need not all add up to $1$ (and in fact will generally not do so)
- $\text{(b)}: \quad$ the weights need not in fact all be positive.
But the term is in common use, and so will be used on $\mathsf{Pr} \infty \mathsf{fWiki}$.
Sources
- 1994: George E.P. Box, Gwilym M. Jenkins and Gregory C. Reinsel: Time Series Analysis: Forecasting and Control (3rd ed.) ... (previous) ... (next):
- $1$: Introduction:
- $1.2$ Stochastic and Deterministic Dynamic Mathematical Models
- $1.2.1$ Stationary and Nonstationary Stochastic Models for Forecasting and Control: Moving average models
- $1.2$ Stochastic and Deterministic Dynamic Mathematical Models
- $1$: Introduction: