Mini-Course: "Statistics of stochastic processes and time series"
Event ended
Denis Belomestny, Leading Research Fellow at the Laboratory of Stochastic Analysis and its Applications, Professor at the University of Duisburg - Essen.
Date: February 3 - March 1
Course is open to anyone interested. Whether you need the pass to the Higher School of Economics, do not hesitate to contact the workshop organizer Ella Richkova erichkova@hse.ru.
Program of course
1. Introduction
2. ARMA Processes
3. Elementary properties of stationary processes
4. Prediction
5. Spektral methods
6. Estimation of ARMA models
7. Nonlinear models
8. Diffusion processes
9. Levy processes
10. Statistical inference for Levy processes
Timetable:
Wednesday: 12.10 - 13.30, 13.40 - 15.00
Thursday : 10.30 - 11.50, 12.10 - 13.30, 13.40 -15.00, 15.10 - 16.30
Date
2 February
12:00
Address
3 Kochnovsky Proezd