Lecture 11

14 Março 2022, 08:00 • Nuno Sobreira

Chapter 3 - Box Jenkins methodology for ARIMA. Model estimation. Maximum likelihood. Diagnostic checking of the residuals.

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Lecture 10

11 Março 2022, 08:00 • Nuno Sobreira

Chapter 3 - Box Jenkins methodology for ARIMA. The tentative identification stage (cont.). Model estimation: method of moments and maximum likelihood.  

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Lecture 10

9 Março 2022, 09:30 • Nuno Sobreira

Chapter 3 - Box Jenkins methodology. The three steps of Box Jenkins methodology. Variance stabilizer transformations (log and Box-Cox). Tentative identification stage with example. Applications with RStudio.

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Lecture 9

7 Março 2022, 08:00 • Nuno Sobreira

Chapter 2 - processes for stationary time series. ARMA models. Invertible processes. Deriving the AR and the MA representations of AR, MA and mixed processes. Properties of mixed processes (ARMA with p and q >0). 

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Lecture 8

4 Março 2022, 08:00 • Nuno Sobreira

Chapter 2 - Processes for stationary time series. Why the roots of the characteristic equation of an AR process need to be >1 in modulus? The AR(1) case. The AR(p) case. Properties of AR(p) processes. The MA representation of stationary AR processes.

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