Fin250f: Lecture 8.1 Spring 2010 Reading: Brooks, chapter 5.1-5.7. Time Series Basics. Outline. Linear stochastic processes Autoregressive process Moving average process Lag operator Model identification PACF/ACF Information Criteria. Stochastic Processes. Time Series Definitions.
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Fin250f: Lecture 8.1
Reading: Brooks, chapter 5.1-5.7