If the dependence is nonlinear, the model is specifically called a nonlinear moving average (NMA), nonlinear autoregressive (NAR), or nonlinear autoregressive moving average (NARMA) model (Wikipedia 2006).
References:
Wikipedia. "Autoregressive moving average model", Wikimedia Foundation Inc, http://en.wikipedia.org/wiki/Autoregressive_moving_average_model, Last accessed 14 February 2006.
Brandon Hodgson