Time Series Analysis and Applications. (3-0) 3 Credit Hours

Catalog description

Prerequisite: STA 5513 or consent of instructor. This course provides examples and goals of time series analysis, stochastic processes, mean and autocovariance and cross-covariance functions, stationarity, estimation of mean and autocovariance functions, linear filters, smoothing time series, autoregressive and moving average (ARMA) processes, estimation by method of moments, least squares and maximum likelihood, model diagnostics, order and model selection, forecasting/prediction of time series, best linear prediction, and autoregressive integrated moving average (ARIMA) models. This course has Differential Tuition.