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Time Series Formulae

D

Dha

Member
I notice in the actuarial tables there are a lot of forumlae for time series which aren't covered at all in CT6. Just out of curiousity-are these covered in later exams, or are they a legacy from 106 that haven't been removed from the tables yet?
 
I think some of the time series may have moved to ct8. This is just a guess though.
 
If you're talking about the ones on Page 47, (Spectral Density etc) they look like they are from old subject 103. They're definitely not in CT8.

If they are not in CT6, (time series wasn't in 106 at all) I suspect they got rid of them as their relevance to becoming an actuary is probably fairly limited and they probably sent the shivers down enough students for many to defer taking the subject until it became CT4 and such material was sent to the great actuarial educational graveyard in the sky.

If anyone knows if they appear in any of the STs, let us know so the subject can be avoided!
 
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Time Series formulae mysteries explained!

Yup! Spectral density was in Subject 103, but it (unfortunately) got dropped when time series moved into Subject CT6. it's not in any of the other subjects.

You'll also only need the first two PACF formulae.

The ARMA(1,1) ACF result you should be able to derive - and expect it to pop up on the exam!

The MA(1) PACF result is all very interesting (need to see that it decays to zero), the proof is not expected. However, it is certainly fair game to be asked to get, say, the PACF for k = 1 and 2.

No time series in the later subjects - such a shame! Plenty of heavy maths in ST6 though!
 
Unfortunately got dropped?!!!!!!! Thank goodness more like!!! I studied for the old 103 exam and spectral densities were a complete nightmare! Good riddance to bad rubbish I say!
 
103 has been dumbed down a lot, the old one covered an amazing depth of material - even complex moment generating functions i.e. E(e^{iXt})

Shame really (only as I've passed it!)
 
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