Sumários

Test 1 + AR, MA models

13 Outubro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Test 1


AR and MA models, main ACF PACF properties

MA and AR representations

6 Outubro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

MA (Wold) and AR representations

Moment generating function 
AR(p) processes

Class did not meet due to an ISEG general event

29 Setembro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

 

ACF and PACF

22 Setembro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Ergodicity in mean and covariance

Properties of the ACF and PACF functions
Estimation of ACF and PACF
Bartlett's formula and confidance bounds
White noise

Introduction to the course

15 Setembro 2021, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Introduction - Syllabus discussion

Types of time series
Stochastic processes as models for time series
Strict stationarity and covariance stationarity
ACVF and ACF functions