• We are pleased to announce that the winner of our Feedback Prize Draw for the Winter 2024-25 session and winning £150 of gift vouchers is Zhao Liang Tay. Congratulations to Zhao Liang. If you fancy winning £150 worth of gift vouchers (from a major UK store) for the Summer 2025 exam sitting for just a few minutes of your time throughout the session, please see our website at https://www.acted.co.uk/further-info.html?pat=feedback#feedback-prize for more information on how you can make sure your name is included in the draw at the end of the session.
  • Please be advised that the SP1, SP5 and SP7 X1 deadline is the 14th July and not the 17th June as first stated. Please accept out apologies for any confusion caused.

Time Series (1)

S

satyam

Member
Partial autocorrelation function: Is it important from exam point of view?
Can anybody help me understanding the following:

min E [(something)^2] ???
 
satyam said:
Partial autocorrelation function: Is it important from exam point of view?
Can anybody help me understanding the following:

min E [(something)^2] ???
Click to expand...

You just need the formulae given on page 40 of the Tables (which are derived from the expression above)
 
Theory for Time Series (1)

Hi John,
The theory for The first-order autoregressive model AR(1) and The autoregressive model AR(p) seems quite quite heavy though I am sort of able to follow the numerical questions. Please help me on how to improve my understanding of the proofs and theory?
 
satyam said:
Hi John,
The theory for The first-order autoregressive model AR(1) and The autoregressive model AR(p) seems quite quite heavy though I am sort of able to follow the numerical questions. Please help me on how to improve my understanding of the proofs and theory?
Click to expand...

The (UK) exams focus on the application rather than the theory - so make sure that you can test stationarity and can derive the autocovaruance, the ACF and the PACF for AR examples - see qns 4.4, 4.6, 4.7 and 4.10 in the Q&A bank and X4.13 in the assignments.

If you want you can drop me an email and I can send you the old C2 time series questions which are pretty much all calculate the ACF and make good practice.
 
Hi John,
Regarding chapter Time Series 1 and Auto Correlation Function and Partial Auto Correlation Function, I am unable to understand how both are equal at lag 1 as it’s mention on Page 18 question and Page 19 information.
It appears that I am missing something.
Could you please help.

Thanks.
Sunil
 
The PACF at lag 1 is the conditional correlation between, say X1 and X2, given all the values in between (ie fixing those values).

Since there are no values between X's 1 apart, it will be the same as the ACF.
 
You must log in or register to reply here.
Back
Top