Trend models

12 Novembro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Test 2

Mixed seasonal models: SARIMA(p,d,q)(P,D,Q)_s

Deterministic and stochastic trends

Unit root tests

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Model selection

5 Novembro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Box-Jenkins metodology - practical examples

Measures of fit for time series models

Selection criteria AIC and SIC

 

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ARMA modeling and forecasting

29 Outubro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Box-Jenkins methodology

ARMA model identification and assessment

Residual whiteness and Q_k tests

AIC and SIC measures for model selection

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Cycle and seasonality

22 Outubro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Deterministic and stochastic cyces

Cycles and seasonality

An example of Seaonal ARMA

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Test 1 and AR processes

15 Outubro 2020, 20:00 • Nuno Paulo De Sousa Arrobas Crato

Test 1

Review of MA processes: conditions for invertibility

AR processes: conditions form stationarity

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