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MATH 545 Introduction to Time Series Analysis (4 credits)

Offered by: Mathematics and Statistics (Faculty of Science)

Overview

Mathematics & Statistics (Sci) : Stationary processes; estimation and forecasting of ARMA models; non-stationary and seasonal models; state-space models; financial time series models; multivariate time series models; introduction to spectral analysis; long memory models.

Terms: Fall 2012

Instructors: David Stephens (Fall)

  • Prerequisite: MATH 324 or MATH 357 or equivalent