Moving-average model
In time series analysis, the moving-average model (MA model), also known as moving-average process, is a common approach for modeling univariate time series.[1][2] The moving-average model specifies that the output variable is cross-correlated with a non-identical to itself random-variable.
Together with the autoregressive (AR) model, the moving-average model is a special case and key component of the more general ARMA and ARIMA models of time series,[3] which have a more complicated stochastic structure. Contrary to the AR model, the finite MA model is always stationary.
The moving-average model should not be confused with the moving average, a distinct concept despite some similarities.[1]
Definition
The notation MA(q) refers to the moving average model of order q:
where is the mean of the series, the are the coefficients of the model[example needed] and are the 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[4]
Thus, a moving-average model is conceptually a linear regression of the current value of the series against current and previous (observed) 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.
Interpretation
The moving-average model is essentially a finite impulse response filter applied to white noise, with some additional interpretation placed on it.[clarification needed] The role of the random shocks in the MA model differs from their role in the autoregressive (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 (see Impulse response).
Fitting the model
Fitting a moving-average model is generally more complicated than fitting an autoregressive model.[5] This is 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. Moving average models are linear combinations of past white noise terms, while autoregressive models are linear combinations of past time series values.[6] ARMA models are more complicated than pure AR and MA models, as they combine both autoregressive and moving average components.[5]
The autocorrelation function (ACF) of an MA(q) process is zero at lag q + 1 and greater. Therefore, we determine the appropriate maximum lag for the estimation by examining the sample autocorrelation function to see where it becomes insignificantly different from zero for all lags beyond a certain lag, which is designated as the maximum lag q.
Sometimes the 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 method).
Autoregressive Integrated Moving Average (ARIMA) models are an alternative to segmented regression that can also be used for fitting a moving-average model.[7]
See also
- Autoregressive–moving-average model
- Autoregressive integrated moving average
- Autoregressive model
- Finite impulse response
- Infinite impulse response
References
- ^ a b Shumway, Robert H.; Stoffer, David S. (19 April 2017). Time series analysis and its applications : with R examples. Springer. ISBN 978-3-319-52451-1. OCLC 966563984.
- ^ "2.1 Moving Average Models (MA models) | STAT 510". PennState: Statistics Online Courses. Retrieved 2023-02-27.
- ^ Shumway, Robert H.; Stoffer, David S. (2019-05-17), "ARIMA Models", Time Series: A Data Analysis Approach Using R, Boca Raton : CRC Press, Taylor & Francis Group, 2019.: Chapman and Hall/CRC, pp. 99–128, doi:10.1201/9780429273285-5, ISBN 978-0-429-27328-5, retrieved 2023-02-27
{{citation}}
: CS1 maint: location (link) - ^ Box, George E. P.; Jenkins, Gwilym M.; Reinsel, Gregory C.; Ljung, Greta M. (2016). Time series analysis : forecasting and control (5th ed.). Hoboken, New Jersey: John Wiley & Sons, Incorporated. p. 53. ISBN 978-1-118-67492-5. OCLC 908107438.
- ^ a b "Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 1 | QuantStart". www.quantstart.com. Retrieved 2023-02-27.
- ^ "Autoregressive Moving Average ARMA(p, q) Models for Time Series Analysis - Part 2 | QuantStart". www.quantstart.com. Retrieved 2023-02-27.
- ^ Schaffer, Andrea L.; Dobbins, Timothy A.; Pearson, Sallie-Anne (2021-03-22). "Interrupted time series analysis using autoregressive integrated moving average (ARIMA) models: a guide for evaluating large-scale health interventions". BMC Medical Research Methodology. 21 (1): 58. doi:10.1186/s12874-021-01235-8. ISSN 1471-2288. PMC 7986567. PMID 33752604.
Further reading
- Enders, Walter (2004). "Stationary Time-Series Models". Applied Econometric Time Series (Second ed.). New York: Wiley. pp. 48–107. ISBN 0-471-45173-8.
External links
- Common approaches to univariate time series
- v
- t
- e
- Additive process
- Bessel process
- Birth–death process
- Brownian motion
- Cauchy process
- Contact process
- Continuous-time random walk
- Cox process
- Diffusion process
- Dyson Brownian motion
- Empirical process
- Feller process
- Fleming–Viot process
- Gamma process
- Geometric process
- Hawkes process
- Hunt process
- Interacting particle systems
- Itô diffusion
- Itô process
- Jump diffusion
- Jump process
- Lévy process
- Local time
- Markov additive process
- McKean–Vlasov process
- Ornstein–Uhlenbeck process
- Poisson process
- Schramm–Loewner evolution
- Semimartingale
- Sigma-martingale
- Stable process
- Superprocess
- Telegraph process
- Variance gamma process
- Wiener process
- Wiener sausage
- Binomial options pricing model
- Black–Derman–Toy
- Black–Karasinski
- Black–Scholes
- Chan–Karolyi–Longstaff–Sanders (CKLS)
- Chen
- Constant elasticity of variance (CEV)
- Cox–Ingersoll–Ross (CIR)
- Garman–Kohlhagen
- Heath–Jarrow–Morton (HJM)
- Heston
- Ho–Lee
- Hull–White
- Korn-Kreer-Lenssen
- LIBOR market
- Rendleman–Bartter
- SABR volatility
- Vašíček
- Wilkie
- Central limit theorem
- Donsker's theorem
- Doob's martingale convergence theorems
- Ergodic theorem
- Fisher–Tippett–Gnedenko theorem
- Large deviation principle
- Law of large numbers (weak/strong)
- Law of the iterated logarithm
- Maximal ergodic theorem
- Sanov's theorem
- Zero–one laws (Blumenthal, Borel–Cantelli, Engelbert–Schmidt, Hewitt–Savage, Kolmogorov, Lévy)
- Cameron–Martin formula
- Convergence of random variables
- Doléans-Dade exponential
- Doob decomposition theorem
- Doob–Meyer decomposition theorem
- Doob's optional stopping theorem
- Dynkin's formula
- Feynman–Kac formula
- Filtration
- Girsanov theorem
- Infinitesimal generator
- Itô integral
- Itô's lemma
- Karhunen–Loève theorem
- Kolmogorov continuity theorem
- Kolmogorov extension theorem
- Lévy–Prokhorov metric
- Malliavin calculus
- Martingale representation theorem
- Optional stopping theorem
- Prokhorov's theorem
- Quadratic variation
- Reflection principle
- Skorokhod integral
- Skorokhod's representation theorem
- Skorokhod space
- Snell envelope
- Stochastic differential equation
- Stopping time
- Stratonovich integral
- Uniform integrability
- Usual hypotheses
- Wiener space
- Actuarial mathematics
- Control theory
- Econometrics
- Ergodic theory
- Extreme value theory (EVT)
- Large deviations theory
- Mathematical finance
- Mathematical statistics
- Probability theory
- Queueing theory
- Renewal theory
- Ruin theory
- Signal processing
- Statistics
- Stochastic analysis
- Time series analysis
- Machine learning
- List of topics
- Category
This article incorporates public domain material from the National Institute of Standards and Technology