December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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How to identify the number of lags
A time series generated by an MA(q) process is driven by the residuals from the q prior-model predictions. Hence, the ACF for the MA(q) process will show significant coefficients for values up to the lag, q, and then decline sharply because this is how the series values are assumed to have been generated.