MATH 681 Time Series Analysis (4 credits)

Offered by: Mathematics and Statistics (Faculty of Science)

Administered by: Graduate Studies

Overview

Mathematics & Statistics (Sci) : 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.

Terms: This course is not scheduled for the 2019-2020 academic year.

Instructors: There are no professors associated with this course for the 2019-2020 academic year.