Time Series Talk : Moving Average and ACF

How to find the order of your Moving Average Model

[odin]

Such a masterpiece! You're still saving a lot of helpless students like me, even after a few years!

[ramtambat]

Great way of teaching the intuition behind the equation.
Keep up the good work.

[maiaramaciel]

Your videos are great! Really thank you, from Brazil! ❤

[qqq_Peace]

Thanks for your great video! But one question regarding your explanation: I don't think the only potential term equaling zero is Exp(Error(t-1)^2), instead it should be one Error(t-i) within k<i<q.

[hrituraajdutta]

wonderful, I was looking all over the internet for a decent explanation, thanks

[EngineeringEveryday-efjm]

That video is a piece of scientific art. Thank you.

[RonDesGroseilliersJr]

I like your videos but it would be helpful if you had a link in the description to your other videos referenced in your talk.

[gggcha]

You're wonderful. Please keep the videos coming!

[sanjoybohiragoto]

I must say, you must have had at least one (if not more) crazy (extraordinary) professors :-) during your graduate program—one of whom you referred to in your previous lecture. Otherwise, how could someone learn such challenging concepts so thoroughly? Kudos to your professors, your dedication to learning, and your excellent explanations! :-) i would request you to make more vedios on Bayesain stats, sampling biases and Methods of Moments, if you have time. ... Thank you

[abdelkaderabouelfedaboureg]

6:54 in the Auto-correlation term: Why you aren't taking in consideration in the second term E(Xt)*E(Xt-k) ?!


Shouldn't it be auto-correlation is diffrent from 0 if the first term is diffrent from μ^2 ?

[karanpreetsinghwadhwa]

shouldn't the equation at 6:39 be other way around ? as if we don't want any term in common we need t-q to be greater then t-k!

[alexbenfield]

Great video but from around 6:30 onwards your words do not match the equations you write. You are saying in words that the inequality between t-q and t-k leads to the overall expected value being zero when it actually leads to the overall expected value being NON-zero as in the equals sign with a cross through it on the left. Took me a while to figure out what you were saying.

[zeyuchen]

super helpful! Thanks so much for your ecxcellent work!

[raghavendrar]

excellent videos! so easy to understand

[gina]

Thanks a lot for your clear explanation!

[arriyadarriyad]

So many videos out there that fail to explain why ACF drops to 0 in a well-modeled MA. Thanks !

[chilinh]

thank you so much, it helps me a lots <3

[srishakarnam]

If the MA model uses the errors from the previous periods to forecast, why are we not using the PACF (which is the correlation of residual over the actual values) to determine the appropriate q for the MA model?

[the-brick-train]

hi there - can you give any guidance on the method used to fit MA(q) processes - i.e. find the phi parameters. I can't find much information about this

[chillwithme]

what is overlap, i dont understand why t-q<t-k, pleasse, explain for me :(