Sumários
ARIMA Models: applications and concepts review
14 Março 2023, 18:00 • Rita Sousa
SARIMA MODELS: applications (stationarity, identification, estimation, diagnostic and representation). Data Files to use: SARIMA.XLS, ELECTRICITY.XLS, S&P500.XLS and USGDP.XLS.
ARIMA Models
7 Março 2023, 18:00 • Rita Sousa
The Box-Jenkins Methodology (Identification, Estimation and Diagnostic). The Box-Pierce and Ljung-Box tests. Dealing with seasonality: the SARIMA models. The Unit Root Tests: Dickey-Fuller, Augmented Dickey-Fuller, KPSS and Phillips-Perron tests, discussion and application to nonstationary time series.
Introduction to stochastic time series models: basic concepts
28 Fevereiro 2023, 18:00 • Rita Sousa
Introduction to stochastic time series models: white noise and random walk processes, stationarity, autocorrelation and partial autocorrelation functions. ARIMA models: differenced and log transformations, lag operator, pure Autoregressive (AR) processes, pure Moving Average processes (MA) and ARMA processes.