Vue d'ensemble
Mathématiques et Statistiques (Sci) : Stationary stochastic processes. Autocovariance and autocovariance generating functions. The periodogram. Model estimation. Likelihood function. Estimation for autoregressive moving average and mixed processes. Computer simulation; diagnostic checking, tests with residuals. Estimation of spectral density; Bartlett, Daniell, Blackman-Tukey spectral windows. Asymptotic moments of spectral estimates.
Trimestres : Automne 2011
Chargés de cours : Stephens, David (Fall)