TIME SERIES ANALYSIS.

Catalog description

This course covers classical methods of time series analysis, for both the time and frequency domains. For covariance stationary series, these include ARIMA modeling and spectral analysis. For nonstationary series, they include methods for detrending and filtering. Also included is a treatment of multivariate series, as well as a discussion of the Kalman filter state-space model. Knowledge of the SAS package is required. Prerequisites: MATH 5358 / STATS 5358 (Regression Analysis) and MATH 5313 / STATS 5313 .