Lecture

Time Series: Parametric Estimation

In course

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Description

This lecture covers parametric estimation in time series analysis, focusing on seasonal modeling and Box-Jenkins methods. It explains the importance of models with zero mean, the autocorrelation sequence, and the seasonal auto-regression process. The lecture also delves into variance calculations, dependence measures, and the use of least squares estimation in ARMA models.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_pge0nybk

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Ontological neighbourhood

Statistics

Data analysis: Time series, Regression analysis

Statistical inference: Mathematical statistics

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