8. Time Series Analysis I

time series

stationarity

Wold representation theorem

autoregressive and moving average models

accomodating non-stationarity models

impulse response function

Yule-Walker equation

Автор: MIT OpenCourseWare

Загружено: Jan 6, 2015

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MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Peter Kempthorne

This is the first of three lectures introducing the topic of time series analysis, describing stochastic processes by applying regression and stationarity models.

License: Creative Commons BY-NC-SA
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8. Time Series Analysis I

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