An introduction to Brownian motion, stationary processes and martingales. Analysis of Time Series. The major topics include time and frequency- domain characteristics of stationary discrete time series, autoegressive and moving average models, prediction theory, estimation and hypothesis testing, and computer applications. Special topics might include vector autoregression, cross-spectral analysis, causality testing or other issues of current interest. Statistics 511 or Economics 775 is the standard prerequisite.
Student evaluation is based on exams, homework, and a term paper.
Lectures and problem sets including computer exercises are the main methods of instruction. Bayesian Decision Analysis. 425 or permission of instructor. There will be assigned homework exercises, a midterm and a final exam. 775 or equivalent.