Stat 420: Introduction to Time Series (Banner Course Number: 42000)
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Textbook
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Outline:
Topics
- Introduction. Examples of Time Series. Deterministic, Stochastic, and Chaotic Processes. Stationary Processes.
- Linear Time Series Models. Autoregressive (AR), Moving Average (MA), ARMA Models.
- Estimation, Data Analysis, and Forecasting with ARMA Models.
- Resampling Methods for Confidence Intervals.
- Nonstationary and Seasonal Time series. Modeling and Forecasting with ARIMA Models.
- Multivariate Time Series Modeling. State-Space Models and the Kalman Filter.
- Nonlinear Time Series Models. ARCH and CARCH Models.
- Spectral Analysis.
- Smoothing in Time Series
