Schedule and Textbooks Information

Fall 2021 Schedule and Textbook Information for STAT 520

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STAT 520 - Textbook(s) for Fall 2021

Textbook information is not available at this time.

STAT 520 - Schedule information for Fall 2021

Schedule information is not available at this time.

STAT 520 - Course Outline

1. Stationary time series: weak and strict stationarity, the autocovariance function, estimation and elimination of trend and seasonal components
   
   
2. Prediction of stationary processes: the orthogonality principle and projections, best linear predictors
   
   
3. Estimation of the mean and autocovariance function: point estimates and confidence intervals for the mean, point estimates and confidence intervals for the autocovariance function
   
   
4. Estimation of the spectral density: the periodogram and its properties, smoothing the periodogram, point estimates and confidence intervals for the spectral density
   
   
5. Estimation for ARMA models: the Yule-Walker equations for AR processes, the Durbin-Levinson algorithm, maximum likelihood and least squares estimates, choosing the order of the model