30E00800 - Time Series Analysis, 26.02.2019-29.05.2019
Kurssiasetusten perusteella kurssi on päättynyt 29.05.2019 Etsi kursseja: 30E00800
Lecture 9 (26.3.2019)
Suorituksen vaatimukset
Continued with the materials started last week: the meaning of autocorrelation and partial autocorrelation for AR and MA processes and calculation using Yule-Walker equations.
In addition: the concept of invertibility (specially for MA-prosesses); How to determine infinite order presentation for AR- (and MA)-prosesses using matching of coefficients (see e.g. Enders).
Readings: Brooks, Chapter 5. See also slides book's slides http://www.cambridge.org/features/economics/brooks/downloads/PPT/Ch5_slides.ppt