What is the m a Process?

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The m Process, denoted by MA(q) it happens to be a general finite-order process that is an autoegressive version of a stationary series that has covariance. It is a stationary process in the sense that the conditional expectation for the present is based solely on the function of the lagged and current unobserved shocks. This function is called the partial autocorrelation function.

The MA(q) does not have an individual MA polynomial, as opposed to AR processes. In fact, there are many possibilities for MA(q) polynomials lag operator that could be stationary and possess the same asymptotic characteristics.

In order to ensure that the process is causal, it is common to put invertibility restrictions on the MA polynomial. This assures that only past events (not future ones) can predict the future.

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