Department of Statistics

Recent Instructors Dickey, Dave	ST 782	Time Series Analysis: Time Domain
	Course Description Estimation inference for coefficients in autoregressive, moving average and mixed models and large sample. Distribution theory for autocovariances and their use in identification of time series models. Stationarity and seasonality. Extensions of theory and methods to multiple series including vector autoregressions, transfer function models, regression with time series errors, state space modeling. Course Syllabus Stationarity Covariance function Modes of convergence MCT, DCT convergence theorems AR models, Yule-Walker Prediction Vector processes Convergence in probability, distribution Taylor's series expansions Estimation of means, autocorrelations Estimation of ARMA Parameters Prediction Regression with time series errors Trend and Seasonality Nonstationary Series Course Prerequisites ST 512 ST 522 Course Corequisites None Recent Textbooks