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STAT 503

Time Series Analysis I

Historical course

Undated

Topics

  • Stationarity and correlations
  • ARMA models
  • Forecasting and estimation
  • Integrated and seasonal models
  • Spectral representations
  • Fourier transforms and periodograms
  • Impulse responses
  • Signal extraction and optimal filtering

Readings

  • R. H. Shumway and D. S. Stoffer. Time Series Analysis and Its Applications, with R Examples.
    required
Sources