STAT-S 650 TIME SERIES ANALYSIS (3 CR.)

Techniques for analyzing data collected at different points in time. Probability models, forecasting methods, analysis in both time and frequency domains, linear systems, state-space models, intervention analysis, transfer function models and the Kalman filter. Stationary processes, autocorrelations, partial autocorrelations, autoregressive, moving average, and ARMA processes, spectral density of stationary processes, periodograms, estimation of spectral density.