ARIMA model (infer the inputs)

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Alex on 19 Dec 2019

Commented: Alex on 20 Dec 2019

Hello!

I have to estimate the following MA(1) model

where

is available time series. I can estimate the model parameter a and its variance using arima/estimate. However, how do I get the time series

after the model is estimated?

Thank you!

Ridwan Alam on 20 Dec 2019

hmm.. just to be sure, you want to infer et, not rt, right?

Alex on 20 Dec 2019

Yes, exactly (rt is known)!

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