Lecture

Estimation & Spectral Analysis in Time Series

In course

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Description

This lecture covers the estimation of time series models using a single realization and time-average, as well as the properties of the estimator. It also delves into spectral analysis, discussing the integrated spectrum, Lebesgue decomposition theorem, and common scenarios in terms of spectrum decomposition.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_1faaj1jb

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Ontological neighbourhood

Statistics

Data analysis: Time series

Statistical inference: Mathematical statistics

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