Lecture

General Linear Processes: Understanding Stationarity and Invertibility

In course

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Description

This lecture delves into the analysis of general linear processes, focusing on the concepts of stationarity and invertibility. The instructor explains the Wold Decomposition Theorem, the formation of seasonal and standard differences, and the implications of roots placement on the stationarity and invertibility of AR, MA, and ARMA models.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_5jzk4b7a

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Ontological neighbourhood

Mathematics

Algebra: Linear algebra

Statistics

Data analysis: Time series

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