Lecture

Model Specification in Time Series

In course

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Description

This lecture covers the identification and model specification in time series analysis. Topics include Isserlis' Theorem, AR(1) models, measures of dependence, and least squares estimation. The instructor explains how to estimate parameters using least squares and Yule-Walker estimation.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_2dkik07s

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Ontological neighbourhood

Statistics

Data analysis: Regression analysis, Time series

Statistical inference: Mathematical statistics

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