Time Series Analysis

• Introduction
• Basic principles of time series analysis
  • Signals and their models
  • Signal detection
  • Test statistics
  • Corrections to the probability distribution
  • Power of test statistics
  • Time domain analysis
  • Presentation and inspection of results
  • Parameter estimation
• Fourier analysis: The sine model
  • Fourier transforms
  • The power spectrum and covariance statistics
  • Sampling patterns
• MIDAS utilities for time series analysis
  • Scope of applications
  • The TSA environment
  • Input data format
  • Output data format
  • Fourier analysis
  • Time series analysis in the frequency domain
  • Analysis in the time domain
  • Auxiliary utilities
• Command summary
• Examples
  • Period analysis
  • Comparison of two stochastic processes