5-8 3 Moving Average processes Let u,(t1, 2,3, ..) be a sequence of independently and identically distributed (iid )random variables with E(u)=0 and Var(u =0, then y=H+l+日1n1+0u…+e4 is a gth order moving average model ma(q Or using the lag operator notation: Ly,=y L y=+∑0Ln+t1=H+(L)m (L)=1+61L+2L2+…+b 通常,可以将常数项从方程中去掉,而并不失一般性5-8 • Let ut (t=1,2,3,...) be a sequence of independently and identically distributed (iid) random variables with E(ut )=0 and Var(ut )=  2 , then yt =  + ut +  1 ut-1 +  2 ut-2 + ... +  q ut-q is a q th order moving average model MA(q). • Or using the lag operator notation: Lyt = yt-1 L iyt = yt-i 通常，可以将常数项从方程中去掉，而并不失一般性。 3 Moving Average Processes t q i t t i yt i L u u (L)u 1 =  + + =  + = q  L = + L + L ++ q L 2 1 1 2 ( )