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  • Notes 2

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    Sam Yams
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    This document discusses statistical concepts including white noise, moving averages, and MA(1) models. It presents an MA(1) model where the variable yt is equal to a constant mu plus the error term ut plus a coefficient teta1 multiplied by the lagged error term ut-1. The error term ut is described as following an approximate normal distribution with mean 0 and variance sigma squared.

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    Notes from 1st class

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    This document discusses statistical concepts including white noise, moving averages, and MA(1) models. It presents an MA(1) model where the variable yt is equal to a constant mu plus the error term ut plus a coefficient teta1 multiplied by the lagged error term ut-1. The error term ut is described as following an approximate normal distribution with mean 0 and variance sigma squared.

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    © All Rights Reserved
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    10 views1 page

    Notes 2

    Uploaded by

    Sam Yams
    This document discusses statistical concepts including white noise, moving averages, and MA(1) models. It presents an MA(1) model where the variable yt is equal to a constant mu plus the error term ut plus a coefficient teta1 multiplied by the lagged error term ut-1. The error term ut is described as following an approximate normal distribution with mean 0 and variance sigma squared.

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    © All Rights Reserved
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    of 1

    24/01/2017

    Slide 14 White noise


    Moving average
    MA(1) : yt = mu + ut + teta1 x ut-1
    With ut following approximately a normal law of mean 0 and variance sigma square
    u
    Yt-1 = mu + ut-1 + teta1 x ut-2

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