In coatless/ITS: A Tour of Time Series Analysis with R

(APPENDIX) Appendix {-}

Structure (New)

Chapter 0: EDA

Chapter 1: Stationarity and ACF

Stationarity

• 2 kinds + examples

ACF / CCF

• Definitions
• Admisibility
• Confidence Bands
• Examples

Chapter 2: Time Series Models

• Geometric Series
• Backshift operator
• Basic models
• RW
• WN
• AR1
• Linear processes

Chapter 3: ARMA

Definition

MA / AR Operations

Redundancy

Causal + invertible

Estimation

Prediction / Forecast

Structure (Old)

1. Introduction to large sample theory: This chapter is a summary of the first three section of "Large Sample Estimation and Hypothesis Testing" by Newey and McFadden.

   1. Extremum Estimators
   2. Consistency
      1. Basic results
      2. Identification
      3. Uniform convergence and stochasitc equicontinuity
      4. Consistency for maximum likelihood estimators
      5. Consistency for generalized method of moments estimators
   3. Asymptotic normality
      1. Basic results
      2. Asymptotic normality for maximum likelihood estimators
      3. Asymptotic normality for generalized method of moments estimators

2. ARMA models: This chapter is based on the following two references: "Time Series for Macroeconomics and Finance (chapter 3)" by Cochrane and "Time Series Analysis and Its Applications: With R Examples - Third Edition (Chapter 3)" by Shumway and Stoffer.

   1. Basic time series models
      1. White noise
      2. Random walk
   2. Basic ARMA models
      1. Definitions
      2. Backshift operators
      3. Autoregressive and moving average operators
   3. Linear processes
3. The Autocorrelation and Autocovariance functions: This chapter is based on the following two references: "Time Series for Macroeconomics and Finance (chapter 6)" by Cochrane and "Time Series Analysis and Its Applications: With R Examples - Third Edition (Chapter 1)" by Shumway and Stoffer.
   1. Definition
   2. Autocovariance and autocorrelation of ARMA processes
   3. Fundamental represenation
   4. Admissibility
   5. Estimation and Inference
4. Stationarity and Wold representation This chapter is based on the following two references: "Time Series for Macroeconomics and Finance (chapter 6)" by Cochrane and "Time Series Analysis and Its Applications: With R Examples - Third Edition (Chapter 1)" by Shumway and Stoffer.
5. Forecasting
6. Estimation of ARMA parameters

coatless/ITS documentation built on May 13, 2019, 8:45 p.m.