moving average

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“In time series analysis, the estimation of the coefficients for the lag effects of the error terms. An average is computed across each specified interval, such as MA(3) which can be computed as (Y0+Y1+Y2)/3, and then shifted forward one time period to compute (Y1+Y2+Y3)/3, and so on. In the ARIMA model, Yt = μ + ψ0εt + ψ 1εt-1 + ψ 2εt-2 + ψ 3εt-3 … .”

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By |February 1st, 2019|Comments Off on moving average