STAT 6615: Advanced Methods for Time Series Data
Credits: 3. Contact Hours: Lecture 3.
Prereq: STAT 5615 and STAT 6542
Estimation and distributional theory for time series, generalized estimating functions, M-estimation, frequency domain estimation. Limit theorems under time dependence, mixing, long-memory. Approximations of sampling distributions and standard errors for time series statistics, bootstrap, subsampling. Offered even-numbered years.
(Typically Offered: Fall)