MATH 681. Time Series Analysis.
Credits: 4
Offered by: Mathematics and Statistics (Graduate Studies)
This course is not offered this catalogue year.
Description
Linear Processes and the Wold Decomposition; positive definite operators; Autocovariance and autocovariance generating functions; model estimation and inference; estimation for mixed processes using moments and the likelihood; diagnostic checking; tests with residuals; spectral analysis; estimation of spectral density the peridogram; spectral window and tapers; asymptotic moments of spectral estimates; fractional noise and long range dependence; continuous time models.
- Prerequisite: MATH 545 or equivalent