Courses with significant overlap with this course:

Semester of last offering:

Date of approval: dd-mmm-yyyy

Prerequisites: 

Course Contents

Linear stationary processes, AR, MA, ARMA and ARIMA; identification, estimation of the models; forecasting time series regression; Fourier analysis, spectral representation of a stochastic process, properties of ARMA processes in the frequency domain; estimation of the spectrum, Kalman filter.