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Courses - Spring 2022
Statistics and Probability Department Site
Time Series Analysis
Credits: 3
Grad Meth: Reg, Aud
Prerequisite: STAT700; and must have completed a graduate course in analysis. Or permission of instructor.
Recommended: STAT701 and STAT650.
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.