Syllabus
Stationary processes.
Continuity, differentiation and integration.
Spectral representation.
Linear process. Ergodicity, central limit theorems.
Prediction and filtration.
ARMA models and their statistical analysis.
Annotation
Stationary process. Continuity, derivative and integral of a process. Spectral representation. Linear process.
Ergodicity, central limit theorems. Predictions and filtrations. ARMA models and their statistical analysis.