Lecture 7

2 Março 2022, 09:30 • Nuno Sobreira

Chapter 2 - Stationary time series processes. ARMA processes. Properties of AR(p) processes. The Partial Autocorrelation Function (PACF). Why the roots of the AR polynomial need to be outside the unit circle? The MA representation of a stationary AR(1) process.   

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Lecture 6

25 Fevereiro 2022, 08:00 • Nuno Sobreira

Chapter 2 - Processes for stationary time series. ARMA models. Properties of general AR processes. The AR(1) case. 

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Lecture 5

23 Fevereiro 2022, 09:30 • Nuno Sobreira

Chapter 2 - Stationary time series processes. ARMA processes. MA processes.

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Lecture 4

21 Fevereiro 2022, 08:00 • Nuno Sobreira

Chapter 1 - Introduction to time series processes. The statistical framework underlying time series data. Time series processes. Strict and weak stationarity. How to verify (in theory and practice) is a time series comes from a stationary process?

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Lecture 3

18 Fevereiro 2022, 08:00 • Nuno Sobreira

Chapter 1 - Introduction to time series analysis. Main objectives of time series analysis. The building process of time series models. Main features of time series data. Motivating the class of ARIMA and SARIMA models 

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