Here are the pdf slides I will be using in the lectures, grouped by
topics. The slides are very sketchy, with detailed explanations to be
delivered in the lectures.
Linear stationary and nonstationary models.
Click here for a function to generate ARIMA process.
Click here for a plotting code for the stationary
region of AR(2).
Click here for a function to calculate the spectrum
of ARMA processes.
Click here for a function implementing
the Durbin-Levinson recursion.
Click here for a function implementing the
moment estimates for ARMA model.
Click psi.arma.R and
pi.arma.R for functions calculating the psi
and pi coefficients.
State space models.
Click here for some algebra concerning the
state space representation of ARIMA models.
Click here for a diagram and some algebra
concerning Kalman filter.
Click here for some algebra concerning
multi-step prediction using Kalman filter.
Click here for some algebra of Slide 11.
Click here and here
for some algebra of Slide 12.
Spectral Analysis.
Click here for some DFT facts.
Click here and
here for some periodogram facts.
Click here for some insights and
details concerning lag window estimates.
Click here for some examples of Daniel
windows.
