STA626 - TIME SERIES ANALYSIS

College of Arts and Sciences

Credits: 3

Time series and stochastic processes, auto-correlation functions and spectral properties of stationary processes; linear models for stationary processes, moving average, auto-regressive and mixed autoregressive-moving average processes; linear nonstationary models, minimum mean square error forecasts and their properties; model identification, estimation and diagnostic checking.

Prerequisite(s):
Prereq: STA 623 and STA 603 or equivalent.
Crosslisted with: ECO 790