Time Series Analysis I

3 credits · Graduate

Time series analysis in both the time and frequency domain is introduced. The course is applied and students are required to develop their own computer programs in the analysis of time series drawn from real problems. Topics to be discussed include the nature of time series, stationarity, auto and cross covariance functions, the Box-Jenkins approach to model identification and fitting, power and cross spectra and the analysis of linear time-invariant relationships between pairs of series. PREREQUISITES: Instructor’s consent CROSSLISTED: OCEA 5210.03 EXCLUSIONS: OCEA 4210.03, STAT 4390.03 FORMATS: Lecture