MA(1) Process for Time Series Prediction

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MA(1) Process for Time Series Prediction

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ankit12mz

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1

Suppose we would like to predict a single stationary series Xt with zero mean and
autocorrelation function γ(h) at some time in the future, say, t + ℓ, for ℓ > 0

3
Consider the following MA model with Wt denoting i.i.d white noise sequence
4
Time series was generated by first drawing the white noise series Wt from a normal
distribution with mean zero and variance one. The observed series Xt was generated
from

Consider two time series with white noise series Wt

Consider the MA (1) process

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MA(1) Process for Time Series Prediction

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MA(1) Process for Time Series Prediction

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1

Consider two time series with white noise series Wt

Consider the MA (1) process

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