Create an Moving Average Q [MA(Q)] Process
Sets up the necessary backend for the MA(Q) process.
MA(theta = NULL, sigma2 = 1)
theta |
A |
sigma2 |
A |
An S3 object with called ts.model with the following structure:
Used in summary: "MA-1","MA-2", ..., "MA-Q", "SIGMA2"
theta[[1]], theta[[2]], ..., theta[[q]], sigma^2
Number of parameters
"MA"
String containing simplified model
Depth of parameters e.g. list(q,1)
Guess starting values? TRUE or FALSE (e.g. specified value)
We consider the following model:
X_t = ∑_{j = 1}^q θ_j \varepsilon_{t-1} + \varepsilon_t
, where \varepsilon_t is iid from a zero mean normal distribution with variance σ^2.
James Balamuta
MA(1) # One theta MA(2) # Two thetas! MA(theta=.32, sigma=1.3) # 1 theta with a specific value. MA(theta=c(.3,.5), sigma=.3) # 2 thetas with specific values.
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