Lecture notes

References

Introduction

Reduction to stationarity

CLT for dependent random variables

ARCH(1) model

Skeleton of AR(p) models

ARMA models

Summary slides: ARMA models

Multi-step ahead prediction

AIC

Discrete Fouriertransform

Spectral density of linear filters

Spectral density estimator

Kalman filter

Demonstration 1

Demonstration 2

Demonstration 3

Demonstration 4

Examples: spectral density estimation