Sumários
Aula Teórica 10
8 Maio 2023, 11:30 • Paulo Parente
ARMA Processes
- Properties of some ARMA processes
- Wold’s Decomposition Theorem
- Integrated Processes
- ARIMA Models
- Trend Stationary Processes
- Box Jenkins Methodology
- Identification of Stationary ARMA(p,q) Processes
- Maximum likelihood estimation of ARMA models.
- Diagnostic Testing
- Goodness of Fit
- Forecasting
aula prática 10 - M22
4 Maio 2023, 10:00 • Paulo Parente
Exercise Sheet 4: 6, 7a,b.
Moments of the AR(1) process with an intercept
aula prática 10 - M21
2 Maio 2023, 10:00 • Paulo Parente
Exercise Sheet 4: Exercises 4, 5, 6
Moments of the MA(1) process with an intercept
Moments of the AR(1) process with an intercept
aula prática 9 - M22
27 Abril 2023, 10:00 • Paulo Parente
Exercise Sheet 3: Exercises 13
Exercise Sheet 4: Exercises 1, 2, 3, 4, 5
Moments of the MA(1) process with an intercept
aula prática 9 - M21
26 Abril 2023, 14:30 • Paulo Parente
Exercise Sheet 3: Exercises 10, 11, 13
Exercise Sheet 4: Exercises 1, 2, 3