ONLINE im SoSe 21: Zeitreihenanalyse - Einzelansicht

Contents

• basic concepts
• stationarity
• linear processes
• autoregressive and ARMA processes
• parameter estimation
• central limit theorems for dependent random variables
• spectral density, spectral measure
• estimation in the spectral domain

Note that a good knowledge of basic and advanced concepts of probability theory is required.

Brockwell, P.J. and Davis, R.A. (1991). Time Series: Theory and Methods. 2nd Edition. Springer. New York.