Vue d'ensemble
Math茅matiques et Statistiques (Sci) : Stationary stochastic processes. Autocovariance and autocovariance generating functions. The periodogram. Model estimation. Likelihood function. Estimation for autoregressive moving average and mixed processes. Computer simulation; diagnostic checking, tests with residuals. Estimation of spectral density; Bartlett, Daniell, Blackman-Tukey spectral windows. Asymptotic moments of spectral estimates.
Terms: This course is not scheduled for the 2009-2010 academic year.
Instructors: There are no professors associated with this course for the 2010-2011 academic year.