2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
Chapter 1, Stationary Time Series
Examples of time series
Stochastic processes
Stationarity and strict stationarity
Estimati
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
1.
2.
3.
4.
Causal and invertible ARMA processes
Moving average processes of infinite order
Computing ACVF of an ARMA(p, q)
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
Chapter 5, Prediction of Stationary
Processes
1. Prediction equations in the time domain
2. Recursive methods for computing
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
Chapter 9, Model Building and Forecasting
with ARIMA Processes
1.
2.
3.
4.
5.
6.
ARIMA models for nonstationary time series
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
Chapter 4, Spectral Representation of a
Stationary Process
1. Complex-valued stationary time series
2. Spectral distribution
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
1. Estimation of
2. Estimation of
and
Chapter 7, Estimation of Mean and ACVF
3
1. Estimation of
A natural estimator of
4
Pr
2
Outline
STATISTICS G6503: STATISTICAL INFERENCE
AND TIME SERIES MODELLING
Chapter 8, Estimation for ARMA Models
1. Yule-Walker equations and parameter estimation
for AR processes
2. Preliminary esti