Moving average (MA) models are used in time series analysis to describe stationary time series. The MA-models represent time series that are generated by passing the white noise through a non-recursive linear filter.
A moving average model of a random process in discrete time is defined by the following expression:
where
are the coefficients of the linear non-recursive filter;- is the order of the MA-model;
- are elements of the (input) white noise;
- are the output uncorrelated errors.