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