| Lecture notes |
Topics |
Corresponding section(s) of Brockwell and Davis (2002) book |
| Lec_01.pdf |
Stationarity, strict stationarity, autocovariance function |
1.1-1.4, 2.4 |
| Lec_02.pdf |
Detrending and deseasonalizing time series data |
1.5 |
| Lec_03.pdf |
Asymptotic results for linear processes |
2.1, 2.2 |
| Lec_04.pdf |
Forecasting with Durbin-Levinson and innovations algorithms |
2.5 |
| Lec_05.pdf |
ARMA processes |
2.3, 3.1, 3.2 |
| Lec_06.pdf |
Estimation for ARMA processes |
5.1, 5.2 |
| Lec_07.pdf R code |
Spectral analysis of time series |
4.1-4.4 |
| Lec_08.pdf |
Testing for white noise, goodness of fit for ARMA models |
1.6, 5.3 |
| Lec_09.pdf |
ARIMA model, Dickey-Fuller unit root test, SARIMA model |
6.1-6.5 |
| Lec_10.pdf |
Multivariate time series |
7.1-7.4 |
| Lec_11.pdf R code |
Intro to block bootstrapping for time series |
|