After successful completion of the course, students are able to formulate and prove the basic theorems of stationary processes and their spectral representation as well as making forecasts and to perform statistical estimation and testing in this context.
Stationary processes, basics, autocovariance function, spectral representation, spectrum, linear filters, transferfunction, AR/ARMA processes, forecasting, estimation.
Documents, exercises, etc. are provided in the associated TUWEL course. Therefore, registration in the TUWEL course is absolutely necessary. (The non-binding registration is done by "self-enrollment").