STAT5511: Time Series Analysis

3 CreditsGoal 10 - People/EnvironmentGoal 6 - Hum: Arts/Lit/PhilOnline Available

Characteristics of time series. Stationarity. Second-order descriptions, time-domain representation, ARIMA/GARCH models. Frequency domain representation. Univariate/multivariate time series analysis. Periodograms, non parametric spectral estimation. State-space models. prereq: STAT 4102 or STAT 5102

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