Stationary Time Series

[wooju7533]

ch10. stationary time series
p.21
Invertibility: If the inverses of all roots of (L) are inside the unit circle,~~

1. what is roots??
2. i don't understand exactly what "invertibility/invertible" mean. please explain in detail

 

[David Harper CFA FRM]

Hi @wooju7533 Admittedly, the time series in FRM lacks much "scaffolding" and will need improvement (many details that are likely not much testable)

1. There are many resources for finding the roots of a polynomial. See https://brilliant.org/wiki/polynomial-roots/ or http://mathworld.wolfram.com/PolynomialRoots.html (I bet Kahn Academy has videos). I don't think wikipedia very accessible but here is the topic https://en.wikipedia.org/wiki/Zero_of_a_function
2. Please see my answer on invertibility here at https://forum.bionicturtle.com/threads/meaning-of-invertible.13528/ Thanks,

 

[Jaskarn]

Hi @David Harper CFA FRM

The is not much explanation on AIC and SIC. Kindly share resources for reference. Also, can we expect specific question on AIC and SIC calculation in 2020 curriculum ? Thanks (ref. page 22 topic 10) @Nicole Seaman added ref.

 

[enjofaes]

Hi @David Harper CFA FRM

The is not much explanation on AIC and SIC. Kindly share resources for reference. Also, can we expect specific question on AIC and SIC calculation in 2020 curriculum ? Thanks (ref. page 22 topic 10) @Nicole Seaman added ref.
View attachment 2872

https://www.r-bloggers.com/2018/04/how-do-i-interpret-the-aic/ gives a detailed introduction to AIC and Log-likelihood. SIC is basically going one step further and is the most strict information criterion (penalty is ln(n)k instead of 2k).