Class Notes (806,815)
STA457H1 (9)
Zhou Zhou (7)
Lecture

# January 7.docx

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School
University of Toronto St. George
Department
Statistical Sciences
Course
STA457H1
Professor
Zhou Zhou
Semester
Winter

Description
January 7, 2014 Def. A sequence (maybe multivariate) which is naturally ordered in time is called a time series. {X}tto denote time series t can be continuous or discrete Fundamental property of Time Series: Data observed - closely in time tend to be dependent - far away in time tend to be independent The purpose of Time Series Analysis: 1. To forecast 2. To extract signals (smoothing) 3. Classification Time series model building Greedy goal: To model the joint distribution of the time series Suppose {X , X , 1, X 2 is the onserved time series. F(x ,1x ,2…, x ) = n(X ≤x , X 1x ,1…, X2≤x )2 n n *If goal is to forecast next observation optimally in a certain sense, then the first and second moments of the joint distribution is su
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