Time Series Analysis

MATHEMATICS AND STATISTICS 461

Time series data types; autocorrelation; stationarity and nonstationarity; autoregressive moving average models; model selection methods; bootstrap confidence intervals; trend and seasonality; forecasting; nonlinear time series; filtering and smoothing; autoregressive conditional heteroscedasticity models; multivariate time series; vector autoregression; frequency domain; spectral density; state-space models; Kalman filter. Emphasis on real-world applications and data analysis using statistical software. Prerequisite: Math 493 and either Math 3200 or 494; or permission of the instructor. Some programming experience may also be helpful (consult with the instructor).
Course Attributes: FA NSM; AR NSM; AS NSM

Section 01

Time Series Analysis
INSTRUCTOR: Chen
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