Invertibility - converting an MA(1) to an AR(infinite) process

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  • Опубликовано: 24 дек 2024

Комментарии • 44

  • @Gibson-xn8xk
    @Gibson-xn8xk 2 года назад

    Greetings, Ben.
    Your explanation is awesome! I have been looking for a intuitiveness behind the math for a really long time and i finally find it. In my opinion, there is nothing more valuable than getting the basic understanding of how to extract the final result starting from the beginning. You saved my time! I find this content extremely useful. Thank you!

  • @ManikandanVR-VedanticStoic
    @ManikandanVR-VedanticStoic 9 лет назад +3

    Thank you so much! This helped me grasp a difficult concept for which no explanation was available in the book
    Have been watching your videos for a while, makes for crisp understanding of esoteric concepts, please continue your good work that I discover to be an art.

  • @davidhph
    @davidhph 10 лет назад +12

    Thanks a lot! This helped me get a full mark on a 20 mark final exam question!

  • @frankyii5950
    @frankyii5950 10 лет назад +2

    thanks for your work, you saved someone today!

  • @mathijsgoethals4631
    @mathijsgoethals4631 4 года назад +2

    Ben you are a ledgend

    • @turayibrahim5250
      @turayibrahim5250 4 года назад

      Ben please help me how to interpret the ADK test

  • @ViolaTheSinger
    @ViolaTheSinger Год назад

    Very good explanation!

  • @GhXcel
    @GhXcel 8 лет назад

    I really enjoyed listening to this lecture

  • @nielssss
    @nielssss 5 лет назад

    straight to the point. Thank you so much

  • @anesethemi5054
    @anesethemi5054 3 года назад

    thank you so much, some just explain it without mentioning the steps in between, as we are supposed to know these steps

  • @danielyun8520
    @danielyun8520 10 лет назад +4

    Hello I am just wondering isn't MA(1) process defined as:
    xt = et + theta * et-1 instead of et - theta * et-1?

    • @abhishekkulkarni3840
      @abhishekkulkarni3840 10 лет назад

      theta can be positive or negative , depends upon how you want to model .

    • @MdCor2012
      @MdCor2012 6 лет назад +1

      Both possible. Just switches the sign on theta.

  • @toddpeterson9026
    @toddpeterson9026 11 лет назад

    Thank you. This was terribly helpful.

  • @jingyuantian3575
    @jingyuantian3575 9 лет назад

    Very useful! Thank you very much!

  • @samuelosei9549
    @samuelosei9549 7 лет назад +1

    Very succinct thought

  • @polgarri
    @polgarri 6 лет назад

    0:04 Sorry how do you spell that? Coike transformation? Thanks

  • @bjornlarsson1037
    @bjornlarsson1037 4 года назад

    Thanks Ben! Just one question: why do we care about transforming between MA(1) and AR(infinity) as in this video (AR(1) and MA(infinity) in the previous video in the playlist)? What do we gain from transforming from one process to another? Maybe you said that, but I missed it

    • @lastua8562
      @lastua8562 4 года назад +1

      We want to show the similarity, just that they are not all that different from one another but rather related.

  • @leidycaceres922
    @leidycaceres922 4 года назад

    Hi everyone, can someone help me to understand what is the phrase that he mentioned in minute 1:11, I understand sometihing like "the lang of.."
    Thank u so much

  • @SpL-mu5zu
    @SpL-mu5zu 5 лет назад

    Thank you so much!!!!!

  • @jayjayf9699
    @jayjayf9699 3 года назад

    Your MA(1) model is missing the mean in the equation, how does a sum of the errors equal the actual estimate of the value at time t?

    • @myleslloyd9902
      @myleslloyd9902 3 года назад

      It isn't missing. I asked the exact same thing to my Professor the other day. The answer is that it IS NOT a moving average, it is a moving summation and so the title is a misnomer. Misleading af I say.

  • @luciehronova1584
    @luciehronova1584 3 года назад

    THANK YOU! :)

  • @clararuizga
    @clararuizga 9 лет назад

    Hello, my teacher explained that not every MA process is invertible and that, for an MA(q) process to be invertible, the solutions of the polynomial equation have to be inside the unit circle. Do you know why is that? Thank you very much!

    • @MdCor2012
      @MdCor2012 6 лет назад +1

      Because the geometric series would not converge otherwise

  • @lyutonglu5587
    @lyutonglu5587 7 лет назад +3

    Hey would it be the same if an intercept is included?

  • @darrentan1739
    @darrentan1739 3 года назад

    my lecture used Yt = Epsilont + tita x Epsilont-1 may I ask why the equation in my lecture uses + but the example in the video uses minus?

    • @myleslloyd9902
      @myleslloyd9902 3 года назад

      It just depends on the way that the data moves. A function can be defined however you want it theoretically, he has chosen a different starting equation.

  • @friederikel8366
    @friederikel8366 9 лет назад +1

    How does it work for higher order MA(q)?

    • @SpartacanUsuals
      @SpartacanUsuals  9 лет назад +2

      +Friederike L Thanks for your comment. There are ways to do this using lag polynomials see: stat565.cwick.co.nz/lectures/06-ARMA-properties.pdf - it goes into some detail about how this might work. Best, Ben

  • @tristanh.4048
    @tristanh.4048 6 лет назад

    How would it look like if we had an MA(2)process?

  • @veronicagrosu8409
    @veronicagrosu8409 2 года назад

    Thalk you!

  • @rosaevee274
    @rosaevee274 5 лет назад +1

    Can an AR(1) be converted to an MA(infinity) ?

    • @SpartacanUsuals
      @SpartacanUsuals  5 лет назад +1

      Yep, via the Koyck transformation: ruclips.net/video/hppHTnz0NgU/видео.html Cheers, Ben

  • @rodolfosaturninoperezrodri7473
    @rodolfosaturninoperezrodri7473 3 года назад

    Does anybody know how to convert an arma(1,1) process to an ar(infinity)?

  • @GhXcel
    @GhXcel 8 лет назад

    Great

  • @nope69555
    @nope69555 3 года назад

    You haven't started with an MA(1) though. You've started with an AR(1). Davidson and McKinnon 273

    • @benbuchinger3011
      @benbuchinger3011 3 года назад

      Hey did start with an MA(1) because we have theta, not phi.