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Overview
Mathematics & Statistics (Sci) : Stationary stochastic processes. Autocovariance and autocovariance generating functions. The periodogram. Model estimation. Likelihood function. Estimation for autoregressive moving average and mixed processes. Computer simulation; diagnostic checking, tests with residuals. Estimation of spectral density; Bartlett, Daniell, Blackman-Tukey spectral windows. Asymptotic moments of spectral estimates.
Terms: Fall 2011
Instructors: Stephens, David (Fall)