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. 15 min read, ~2,205 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. Model selection: smallest AIC or...