January 2019
Intermediate to advanced
294 pages
6h 43m
English
Content preview from Machine Learning Quick Reference
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Moving average model
A moving average model (MA) is a linear combination of historic white noise error terms. Let's have a look at the equation of the model:
Here, ω is the white noise with E(ωt)=0 and variance = σ2.
In order to find out the order of the AR model, we need to plot a partial autocorrelation function plot, and then look for the lag where the upper confidence level has been crossed for the first time.
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