Syllabus
Limit theorems for serially dependent observations, estimation of basic characteristics, asymptotic properties. Spectral analysis of time series, periodogram and estimation of spectral density.
Vector time series, stationarity, correlations and spectrum, cointegration. Nonlinear and nonstationary time series, financial time series.
Annotation
Selected topics in time series for PhD students: limit theorems for serially dependent observations, asymptotic properties of estimations. Spectral analysis of time series, periodogram and estimation of spectral density.
Vector time series, stationarity, correlations and spectrum, cointegration. Nonstationary and nonlinear time series, financial time series.