Model relationships of current and past values of a statistic or metric.
Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Time Series with Constant Variance. 16 min read, ~2,389 words.
AR(p):. PACF cuts off at lag; ACF decays. MA(q):. ACF cuts off at lag; PACF decays. ARMA(p,q): both ACF and PACF decay (no clean cutoff). Stationarity (AR): roots of lie outside the unit circle. For AR(1):. Invertibility (MA): roots of lie outside the unit circle. AR(1) moments: unconditional variance is...
Read the full lesson, free →
Worked examples and practice. Free with a free account, no card.
What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- D1
Browse all free MAS-II lessons or jump into free MAS-II practice questions.