List of references

Some notes about the lecture

Introduction

Reduction to stationarity

Central Limit Theorem for dependent observations

Autocovariance function

ARCH(1) model

ARMA models

Skeleton of AR models

Autocovariance and partial autocovariance functions of ARMA models

ARMA models: Summary

Multi-step ahead ARMA prediction

AIC for ARMA models

MLE based on non-Gaussian innovations for ARMA models

Discrete Fouriertransform

Linear filters and transfer function

Spectral density estimation

Kalman filtering

state space representation of ARMA

Some computer code in R

Demonstration 1

Demonstration 2

Demonstration 3

Demonstration 4

Demonstration 5