MA 642 Time Series Analysis II
Scope and applications of time series analysis: process control, financial data analysis and forecasting, signal processing. Exploratory data analysis: graphical analysis, trend and seasonality detection and removal, moving-average filtering. Review of basic statistical concepts related to the characterization of stationary processes. ARMA models, prediction of stationary processes. Estimation of ARMA models, model building and forecasting with ARMA models. Spectral analysis: periodogram testing for seasonality and periodicities, the maximum entropy and maximum-likelihood estimators. A symptotic convergence. Selected topics such as multivariate time series, nonlinear models, Kalman filtering, econometric forecasting, and long- memory processes. Selected applications such as the unit-root problem in economics, forecasting and testing for market efficiency in financial time series, process control and quality control.