AMS 316 - Introduction to Time Series Analysis

Trend and seasonal components of time series models, autoregressive and moving average (ARMA) models, Box-Jenkins methodology, Portmanteau test, unit-root, generalized autoregressive conditionally heteroskedasticity (GARCH) models, exponential GARCH, stochastic volatility models.

3 credits

Prerequisite(s): AMS 311  and AMS 315 

Offered: This course is offered as both AMS 316 and AMS 586.

SBC: SBS+


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