Note: This is the 2010鈥�2011 edition of the eCalendar. Update the year in your browser's URL bar for the most recent version of this page, or click聽here to jump to the newest eCalendar.
Overview
Mathematics & Statistics (Sci) : Stationary stochastic processes. Autocovariance and autocovariance generating functions. The periodogram. Model estimation. Likelihood function. Estimation for autoregressive moving average and mixed processes. Computer simulation; diagnostic checking, tests with residuals. Estimation of spectral density; Bartlett, Daniell, Blackman-Tukey spectral windows. Asymptotic moments of spectral estimates.
Terms: This course is not scheduled for the 2010-2011 academic year.
Instructors: There are no professors associated with this course for the 2010-2011 academic year.