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Pastimes : Clown-Free Zone... sorry, no clowns allowed
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To: smolejv@gmx.net who wrote (182310)7/23/2002 8:32:41 AM
From: Oblomov  Read Replies (1) of 436258
 
Yep, an AR(1) model on deviation is called an MA(1) model (MA = moving average). It is very common in time series analysis because of its "error-correcting" property.

A model based on deviation in sample variance is part of the GARCH (Generalized AutoRegressive Conditional Heteroskedastic) framework. These models are more complex. They are used frequently in analysis of currency exchange rates.
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