STAT 5P84 - Time Series Analysis and Stochastic Processes

Multivariate, marginal and conditional Normal distributions; partial correlation coefficient. Probability density function of sample correlation coefficient. Autoregressive and Moving Average models; stability analysis; serial correlation; forecasting; maximum likelihood estimation. Spectral theory; spectrum of ARMA models; aliasing. Spectral analysis of time-series data; periodogram; data filtering; spectrum smooting by spectral or lag window; using a kernel. Estimating serial correlation; large-sample theory.