MATH 5075 - Time Series Analysis

Meets with MATH 6820. An introduction to the basic topics: difference equations and lag operators, stationary autoregressive moving average processes, forecasting, estimation of parameters, spectral analysis, Kalman filter, introduction to nonlinear time series, processes with deterministic trends, processes with unit roots, cointegration, time series models for heteroskedasticity, and time series with changes in regime.