4.8.2 Moving-Average Processes
An n-dimensional moving-average process of order q, MA(q), has form
where a is an n-dimensional vector, the βk are n×n matrices, and W is n-dimensional white noise. The coefficients βk of [4.50] induce autocorrelations in an MA process. In applications, MA(1) and MA(2) processes are common.
Exhibit 4.11 indicates a realization of the univariate MA(2) process
where W is variance 1 Gaussian white noise.