TY - JOUR
T1 - Time-Varying Moving Average Model for Autocovariance Nonstationary Time Series
AU - Wanchun Fei & Lun Bai
JO - Journal of Fiber Bioengineering and Informatics
VL - 1
SP - 53
EP - 65
PY - 2014
DA - 2014/07
SN - 7
DO - http://doi.org/10.3993/jfbi03201405
UR - https://global-sci.org/intro/article_detail/jfbi/4766.html
KW - MA Model
KW - Autocovariance
KW - Parameter Estimation
KW - Simulation
KW - Model Selection
AB - In time series analysis, fitting the Moving Average (MA) model is more complicated than Autoregressive
(AR) models because the error terms are not observable. This means that iterative nonlinear fitting
procedures need to be used in place of linear least squares. In this paper, Time-Varying Moving Average
(TVMA) models are proposed for an autocovariance nonstationary time series. Through statistical
analysis, the parameter estimates of the MA models demonstrate high statistical efficiency. The Akaike
Information Criterion (AIC) analyses and the simulations by the TVMA models were carried out. The
suggestion about the TVMA model selection is given at the end. This research is useful for analyzing
an autocovariance nonstationary time series in theoretical and practical fields.