TS Module 8: Non-stationary time series basics HW

Author	Message
NEAS	NEAS posted 15 Years Ago #8690 #
Supreme Being Group: Administrators Posts: 4.3K, Visits: 1.3K	TS Module 8: Non-stationary time series basics HW (The attached PDF file has better formatting.) Homework assignment: Stationarity through differencing and logarithms Automobile liability claim severities have a geometric trend of +8% per annum. The average claim severity in year t is the average claim severity in year t-1 adjusted for the geometric trend, plus or minus a random error term. Assume the error term is added to the logarithm of the average claim severities. The average claim severities are multiplied by a random error term. 　 Is the time series of average claim severities stationary? Is the first difference of this time series stationary? Is the second difference of this time series stationary? Is the logarithm of this time series stationary? What transformation makes the time series stationary? Jacob: What is the form of this time series? Rachel: Actuaries write: Y_t = 1.08 Y_t-1. The error term is multiplicative: Y_t = 1.08 Y_t-1 × (1 + å). A separate discussion forum posting shows the solution. Attachments TS Module 8 differences and logarithms HW.pdf (2K views, 44.00 KB) Edited 12 Years Ago by NEAS 0
	Reply
Reply
akoch81	akoch81 posted 12 Years Ago #11987 #
Forum Newbie Group: Forum Members Posts: 5, Visits: 418	Is it safe to assume at this point that there is no "separate discussion forum posting on practice problems" showing the solution? It would be helpful to confirm the process, but like the others, I can't find the posting you (NEAS) are referring to. [NEAS: Sorry, the post was inadvertently deleted; it is reposted now as "homework hint."] Edited 12 Years Ago by NEAS 0
	Reply

Merge into selected topic...

Merge into merge target...

Merge into a specific topic ID...

Threaded View

TS Module 8: Non-stationary time series basics HW

NEAS - 15 Years Ago

It is me or is the homework for module 9 look to be affiliated with...

Tom McNamara III - 14 Years Ago

I'm having the same problems getting started with this module. I...

rmconrad - 14 Years Ago

rmconrad, think about what is happening over time. We are given that...

RayDHIII - 14 Years Ago

"....Jacob: What is the form of this time series? Rachel: Actuaries...

minnie53053 - 13 Years Ago

I have been reading the posts for module 8 and 9 and trying to do the...

ktanner22 - 13 Years Ago

I agree. I think I understand the concepts of this module, but what I...

ktanner22 - 13 Years Ago

If you look under the 'old textbook' section for the module 12...

Dirka - 13 Years Ago

So my understanding thus far is that if there is no trend, then any...

LIAPP - 13 Years Ago

If anyone could help me clarify the following, I would appreciate it....

EvilDoer - 12 Years Ago

Is it safe to assume at this point that there is no " separate...

akoch81 - 12 Years Ago

Reading This Topic

TS Module 8: Non-stationary time series basics HW

TS Module 8: Non-stationary time series basics HW

Merge Selected

Threaded View

Reading This Topic

Login

Select a Forum....

Neas-Seminars

Search

Existing Account
Email Address: Password: Reset Your Password Remember Me	Social Logins