An actuary uses a time series to estimate the average claim severity next year as $10‚000. We use this forecast to set rates for auto insurance policies. The procedure used to estimate the future average claim severity may be unbiased‚ bu the actual claim severity next year will not be exactly $10‚000. If the actuary’s estimate is a normal distribution with a mean of $10‚000 and a standard deviation of $500‚ we are 95% confident that the true average claim severity will lie between $9‚000 and $11
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and the winner of the 2003 Nobel Memorial Prize in Economic Sciences‚ sharing the award with Clive Granger‚ "for methods of analyzing economic time series with time-varying volatility (ARCH)". 7 EWMA Model • In an exponentially weighted moving average model‚ the weights assigned to the u2 decline exponentially as we move back through time • This
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models‚ and the moving average (MA) models. The general autoregressive model of order p (AR(p)) can be written as And that of the moving average model of order q as The autoregressive (AR) models‚ were first introduced by Yule (1927) while the moving average process was developed by Slutzky (1937). Combinations of these ideas produce autoregressive moving average (ARMA) and autoregressive integrated moving average (ARIMA) models. is an autoregressive moving average process of order
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Box-Jenkins Modeling and Forecasting of Monthly Electric Consumption of PANELCO III Customers ______________________________ A Special Problem Presented To The Panel of Evaluators Mathematics Department Pangasinan State University Urdaneta City _______________________________ In Partial Fulfillment of The Requirement for the Degree of Bachelor of Science in Mathematics Major in Statistics ______________________________ By: Jake Anthony E. CantubaMarch 2014 APPROVAL SHEET In partial
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Course Outline for Spring 2012‚ Statistics 153: Introduction to Time Series January 16‚ 2012 • Instructor: Aditya Guntuboyina (aditya@stat.berkeley.edu) • Lectures: 12:30 pm to 2 pm on Tuesdays and Thursdays at 160 Dwinelle Hall. • Office Hours: 10 am to 11 am on Tuesdays and Thursdays at 423 Evans Hall. • GSI: Brianna Heggeseth (bhirst@stat.berkeley.edu) • GSI Lab Section: 10 am to 12 pm OR 12 pm to 2 pm on Fridays at 334 Evans Hall (The first section will include a short Introduction
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invests in a company‚ it is important for the investor to be aware of the company’s cost of capital‚ and to know what is the firm weighted average cost of capital (WACC). Within this report I emphasize the importance of WACC and why it is an important financial mechanism that all investors should utilize before investing in a company. I calculated Nike’s weighted average cost of capital into two separate parts to truly understand the pros and the cons within this firm. Having deeply analyzed the
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adjustments. Keywords: Gross Domestic Product‚ Consumption‚ ARMA‚ Co-Integration‚ Error Correction Model 1 AUTOREGRESSIVE MOVING AVERAGE PROCESS 1. Moving Average Process In time series analysis‚ the moving average (MA) model is a common approach for modeling univariate time series models. Generally Lags of error term on independent side are called moving average
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Introduction After Mary Francis meeting with investment bankers‚ we are tasked with finding out the required return for expanding Apix activities to include food packaging. To support Apix leadership‚ we will explain capital structure and determine weighted average cost of capital (WACC) from the assumption provided by Mary Francis. Furthermore‚ we will show how WACC and Capital Structure can be leveraged to find out the viability of the capital project. Additionally‚ we will explain marginal cost of capital
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TIME SERIES ANALYSIS Chapter Three Univariate Time Series Models Chapter Three Univariate time series models c WISE 1 3.1 Preliminaries We denote the univariate time series of interest as yt. • yt is observed for t = 1‚ 2‚ . . . ‚ T ; • y0‚ y−1‚ . . . ‚ y1−p are available; • Ωt−1 the history or information set at time t − 1. Call such a sequence of random variables a time series. Chapter Three Univariate time series models c WISE 2 Martingales Let {yt} denote
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Cost of Capital Definition: cost of capital is the rate of return that a company must earn on its project investments to maintain its market value and attract funds. The cost of capital to a company is the minimum rate of return that is must earn on its investments in order to satisfy the various categories of investors‚ who have made investments in the form of shares ‚ debentures and loans. The cost of capital in operational terms refers to the discount rate that would be used in determining the
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