UT Dallas 2015 Graduate Catalog

STAT7338 - Time Series Modeling and Filtering

STAT 7338 Time Series Modeling and Filtering (3 semester credit hours) Theory of correlated observations observed sequentially in time. Stationary processes, Autocovariance function. ARMA models. Optimal forecasting in time domain and in frequency domain. Spectral representation. Estimation and model selection. Nonstationary time series models. Prerequisite: STAT 6331. (3-0) T