Time Series Analysis

3 Credits

The methodology of probabilistic description and statistical analysis of (primarily stationary) random sequences and processes. Correlation functions, Gaussian processes, Hilbert-space methods including Wold decomposition and spectral representation, periodogram and estimation of spectral densities, parameter estimation and model identification for ARMA processes, linear filtering, Kalman-Bucy filtering, sampling theorems for continuous-time series, multivariate time series.