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MATH 681 Time Series Analysis (4 credits)

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Note: This is the 2021鈥�2022 eCalendar. Update the year in your browser's URL bar for the most recent version of this page, or .

Offered by: Mathematics and Statistics (Faculty of Science)

Administered by: Graduate Studies

Overview

Mathematics & Statistics (Sci) : Linear Processes and the Wold Decomposition; positive definite operators; Autocovariance and autocovariance generating functions; model estimation and inference; estimation for mixed processes using moments and the likelihood; diagnostic checking; tests with residuals; spectral analysis; estimation of spectral density the peridogram; spectral window and tapers; asymptotic moments of spectral estimates; fractional noise and long range dependence; continuous time models.

Terms: This course is not scheduled for the 2021-2022 academic year.

Instructors: There are no professors associated with this course for the 2021-2022 academic year.

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