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STAT 679

Time Series Analysis II

Historical course

Undated

Topics

  • ARIMA and spectral methods
  • Long-memory, GARCH and threshold models
  • Transfer functions and ARMAX
  • State-space filtering and forecasting
  • Longitudinal data
  • Frequency-domain regression
  • Principal components
  • Discrimination and clustering

Readings

  • R. H. Shumway and D. S. Stoffer. Time Series Analysis and Its Applications With R Examples.
    required
  • M. B. Priestley. Spectral Analysis and Time Series.
    recommended
  • William W. S. Wei. Time Series Analysis: Univariate and Multivariate Methods.
    recommended
  • J. Durbin and S. J. Koopman. Time Series Analysis by State Space Methods.
    recommended
  • D. R. Brillinger. Time Series: Data Analysis and Theory.
    recommended
Sources