Time Series Analysis ((3 Units))

Catalog description

Prerequisite: Appropriate background is one semester of probability, or one semester of theoretical statistics, or one semester of applied statistics or equivalent or permission. Stationarity. ARIMA modeling with seasonality. Parameter estimation, model diagnostics and forecastng. Regression with autocorrelated errors. Cointegration and multivariat ARMA models. Heteroscedasticity and long-memory models. (Formerly 3470:577)