Lecture 8

3 Março 2023, 09:30 • Nuno Sobreira

The Partial Autocorrelation Function (PACF). Proof of the stationary condition of AR processes. The MA representation of AR processes.

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Lecture 7

1 Março 2023, 08:00 • Nuno Sobreira

Wrap up of properties of MA processes and stationary AR(1) process. Properties of stationary AR(p) processes. The Partial Autocorrelation Function (PACF).

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Lecture 6

27 Fevereiro 2023, 08:00 • Nuno Sobreira

Properties from MA processes. Properties from AR processes. The AR(1) case.

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Lecture 5

24 Fevereiro 2023, 09:30 • Nuno Sobreira

Checking stationarity in practice: additional examples with focus on seasonality. Introduction to chapter 2. Properties from MA processes by visual inspection. Mathematical derivation of properties of an MA(1) process.

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Lecture 4

22 Fevereiro 2023, 08:00 • Nuno Sobreira

Chapter 1 - The statistical framework underlying time series. Definition and examples of stochastic processes. White noise process. Stationary processes. Checking in theory and practice if  time series is stationary.

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