Lecture

Residuals & Forecasting: MATH-342 Time Series

In course

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Description

This lecture covers the concept of residuals in time series analysis, including model checking based on residuals, diagnostics to assess model assumptions, overfitting issues, and forecasting methods using mean square error and ARMA models. The instructor explains how to calculate residuals, test for autocorrelation, and choose the best model using information criteria.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_bai4idrv

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Ontological neighbourhood

Statistics

Data analysis: Regression analysis, Time series

Statistical inference: Mathematical statistics

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