Advanced time series
Graduate · Math
Syllabus focus
Topics typically covered
Click a topic for the full text and related unit practice.
Graduate Advanced time series — outline derived from course README sections and typical US statistics syllabi (OpenIntro / standard OER where applicable).
Linear time series theory
- Stationarity and ergodicity — Stationarity and ergodicity
- Autocovariance — Autocovariance
- ARMA, ARIMA, and SARIMA models — ARMA, ARIMA, and SARIMA models
- Identification and estimation — Identification and estimation
- Diagnostics — Diagnostics
- Forecasting theory: optimal linear predictors — Forecasting theory: optimal linear predictors
- Seasonal — Seasonal
- Long-memory models (intro) — Long-memory models (intro)
State space and spectral methods
- State space models — State space models
- Kalman filter — Kalman filter
- Structural time series models — Structural time series models
- Spectral representation — Spectral representation
- Periodograms — Periodograms
- Multivariate time series (VAR intro) — Multivariate time series (VAR intro)
- Cointegration — Cointegration
- Error correction (overview) — Error correction (overview)
Nonlinear and financial time series
- ARCH/GARCH models for volatility — ARCH/GARCH models for volatility
- Threshold — Threshold
- Regime-switching models (intro) — Regime-switching models (intro)
- Functional time series (overview) — Functional time series (overview)
- High-frequency data challenges (preview) — High-frequency data challenges (preview)
Study units
Each unit includes a study guide, worksheets, review, practice test, and answer key. One unit is free; subscribe for the full class.
- Linear time series theory
Stationarity and ergodicity
Coming soon - State space and spectral methods
State space models
Coming soon - Nonlinear and financial time series
ARCH/GARCH models for volatility
Coming soon
Notes
Graduate Advanced time series — outline derived from course README sections and typical US statistics syllabi (OpenIntro / standard OER where applicable). Topic outline: `content/topics/graduate/time_series_grad.json`.