STAT 5615: Methods for Time Series Data
Credits: 3. Contact Hours: Lecture 3.
Prereq: One of (STAT 5147 or STAT 5542)
Concepts of trend and dependence in time series data; stationarity and basic model structures for temporal dependence; moving average and autoregressive error structures; analysis in time domain and in frequency domain; parameter estimation, prediction and forecasting; identification of appropriate model structure and model assessment techniques. Possible extended topics including non-linear models, dynamic models, state-space models.
(Typically Offered: Fall)