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Regression Modeling with Actuarial and Financial Applications by Edward W. Frees

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7

Modeling Trends

Chapter Preview. This chapter begins our study of time series data by introducing techniques to account for major patterns, or trends, in data that evolve over time. The focus is on how regression techniques developed in earlier chapters can be used to model trends. Further, new techniques, such differencing data, allow us to naturally introduce a random walk, an important model of efficient financial markets.

7.1 Introduction

Time Series and Stochastic Processes

Business firms are not defined by physical structures such as the solid stone bank building that symbolizes financial security. Nor are businesses defined by space-alien ...

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