Time Series Models

Preface.- 1 Time Series and Stationary Processes.- 2 Prediction.- 3 Spectral Representation.- 4 Filter.- 5 Autoregressive Processes.- 6 ARMA Systems and ARMA Processes.- 7 State-Space Systems.- 8 Models with Exogenous Variables.- 9 Granger Causality.- 10 Dynamic Factor Models.- 10 ARCH and GARCH Models.- Index.

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• Estocástica
• Econometria
• Probabilidade e Estatística
• Engenharia electrónica
• Processamento de sinais

Time Series Analysis;Multivariate Time Series;Weakly Stationary Processes;Linear Dynamical Systems;Time and Frequency Domain;Forecasting and Filtering;AR and ARMA Processes;State Space Systems;Factor Models;Granger Causality;ARCH and GARCH Models