Time Series Forecasts and Intervals
Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Time Series Models. 27 min read, ~4,006 words.
Point forecast = conditional expectation given history. Use the fitted recursion: plug in known values, set future shocks to zero. Forecast error variance grows with horizon h. For a random walk it grows linearly ( ); for stationary AR/MA it converges to the unconditional variance. 95% prediction interval =. The...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Example 4
- Example 5
- Example 6
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- 3c
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