STAT-F-507

Content

Topics:

(1) Wold decomposition for stationary processes
(2) Frequency domain analysis (spectral density, Herglotz's theorem, periodgram, dynamic PCA and regression)
(3) Large sample theory for stationary processes and application to ARMA models
(4) GARCH processes

Literature

Lecture Notes

Brockwell, P. and Davis, R. (1991) Time Series: Theory and Methods. 2nd Edition. Springer.
Shumway, R. and Stoffer, D. (2006) Time Series Analysis and Its Applications. 2nd Edition. Springer.



Updated: Feb 1, 2017