Category: Uncategorized

Which measure of model performance allows for a unitless (scale-free) comparison?

Using the iterative selection via AIC reduction approach, you find the best orders for the following stock prices: AAPL, GOOG, FB, TSLA (given below in order). Which model has the lowest degrees of freedom?

It is possible to include multiple seasonality components (e.g both day and month) when using ANOVA modeling.

Variance of Xt = 2Xt-1 + Zt is infinite.

ARMA(2,1) process Xt – 5Xt-1 = Zt + .5Zt-1 is causal, but not invertible. 

The Ljung-Box test is used to check for normality of residuals.

Suppose Xt ~ IID(0, σ2). The series St = t*Xt + 3*Xt is stationary.

If an ACF plot cuts off at lag 2, you can conclude it is an MA(2) process. 

Which of the following is not a characteristic of a white noise process?

Suppose you fit the following ARIMA orders on the same dataset with the corresponding given AIC scores. Select the best model according to AIC using a threshold of 2.