Time series analysis -1

6 Outubro 2011, 10:00 • ANTÓNIO DA ASCENSÃO COSTA

1          Time series analysis

1.1    Introduction, description and classical decomposition

1.1.1           Examples of time series patterns; objectives of time series analysis

1.1.2           Component models: additive and multiplicative

1.1.3           Moving averages filtering: estimating trends and seasonality;   

1.1.3*    E xponential smoothing: an application to volatility estimation

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Review of Mathematical statistics

4 Outubro 2011, 10:00 • João Andrade e Silva

Introduction (including sampling process, statistic, sampling distribution of a statistic, order statistics)

Point estimation (properties of point estimators (unbiasedness, efficiency - including Cramer-Row lower bound, mean-squared error, consistency)

Interval estimation (namely pivotal method)

Some examples

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