This unit covers linear and nonlinear stochastic models; stationary and nonstationary linear time series; estimation for ARMA models; model building and forecasting with ARMA time series; nonlinear time series; regression analysis of time series; time series and continuous-time models with long-range dependence; and multivariate time series. Applications include risk management and term structure dynamics; nonlinear pricing derivatives; population biology models; selection of time series models for detecting climate change; and trend detection in regional mean temperature series. -- Course Website
Instructor: Associate Professor Berwin Turlach
Prerequisites: STAT3361 3S1: Random Processes and Their Applications or STAT3366 3S6: Applied Statistical Methods or STAT3364 3S4: Applied Probability in Commerce and Finance