O'Reilly logo

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

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

8

Autocorrelations and Autoregressive Models

Chapter Preview. This chapter continues our study of time series data. Chapter 7 introduced techniques for determining major patterns that provide a good first step for forecasting. Chapter 8 provides techniques for detecting subtle trends in time and models to accommodate these trends. These techniques detect and model relationships between the current and past values of a series using regression concepts.

8.1 Autocorrelations

Application: Inflation Bond Returns1

To motivate the introduction of methods in this chapter, we work in the context of the inflation bond return series. Beginning in January ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required