Statistics 520: Time Series and Applications
An introduction to stationary time series intended for students wanting to follow up first courses in both probability and statistic. Stationarity, auto-covariance function and spectrum; integral representation of a stationary time series and interpretation; linear filtering, transfer functions; estimation of spectrum; multivariate time series are covered. Statistical computer programs such as ITSM, RATS and/or SAS are used.
TextBrockwell and Davis, Introduction to Time Series and Forecasting, 2th Edition, Springer-Verlag, 2002.