Time Series and Forecasting
CAS MA 585
Autocorrelation and partial autocorrelation functions; stationary and nonstationary processes; ARIMA and Seasonal ARIMA model identification, estimation, diagnostics, and forecasting. Modeling financial data via ARCH and GARCH models. Volatility estimation; additional topics, including long-range dependence and state-space models.
SPRG 2015 Schedule
|A1||Gangopadhyay||TR 11:00 am-12:30 pm|