Wold’s Representation Theorem
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1. Context
In this short video from FRM Part 1 curriculum, we try and understand the Wold’s Representation Theorem for representing a zero mean covariance stationary series, conditions or behaviour demonstrated by the “residual” after the trend and seasonality component of a time series has been duly accounted for. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis |
| Reading | Characterizing Cycles |
| Reference | Francis X. Diebold, Chapter 7. Characterizing Cycles In Elements of Forecasting, 4th Edition (Mason, Ohio: Cengage Learning, 2006). |