Understand the framework of ARIMA models (e.g., trends and seasonality).
Free CAS MAS-II (Modern Actuarial Statistics II) lesson in Time Series with Constant Variance. 13 min read, ~1,885 words.
ARIMA(p,d,q) = AR order, differencing order, MA order, applied to the series after regular differences. The "I" makes the series stationary; AR and MA model the stationary residual. Stationarity requires constant mean, constant variance, and an autocovariance that depends only on lag. Trends violate the mean condition; differencing fixes them...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- D2
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