STA457H1: Time Series Analysis

Hours: 
36L

An overview of methods and problems in the analysis of time series data. Topics include: descriptive methods, filtering and smoothing time series, theory of stationary processes, identification and estimation of time series models, forecasting, seasonal adjustment, spectral estimation, bivariate time series models.

Prerequisite: 

STA302H1/​STAC67H3/STA302H5; MAT235Y1/​ MAT237Y1/​ MAT257Y1/​(MATB41H3, MATB42H3)/(MAT232H5, MAT236H5)/(MAT233H5, MAT236H5)

Exclusion: 

STAD57H3, STA457H5

Distribution Requirements: 
Science
Breadth Requirements: 
The Physical and Mathematical Universes (5)