lecture

16 Setembro 2024, 09:30 • Adriana Cornea-madeira

We defined stochastic processes, discussed about the difference between cross-sectional data and time series data. We discussed about the strict stationarity and covariance stationarity giving examples of time series that are covariance stationary (white noise) and nonstationary (random walk and time series with deterministic trend). We introduced lag notation, lag polynomials and discussed about absolute/square summability. We introduced the Wold theorem representation, and started to discuss about the ARMA models, their characteristics in terms of stationarity/invertibility, acf/pacf. We experimented with some R code (how to simulate a white noise, a random walk, an MA or an AR model, and how to plot them and their acf/pacf).

---

Lecture

9 Setembro 2024, 09:30 • Adriana Cornea-madeira

We started with some representative examples of time series from different areas. We discussed about different characteristics such as trend and seasonality (and some methods to extract these).

---