• Time Series Analysis: The methodology of probabilistic description and statistical analysis of (primarily stationary) random sequences and processes, correlation functions, Gaussian processes, Hilbert-space methods including Wold decomposition and spectral representation periodogram and estimation of spectral densities, parameter estimation and model identification for ARMA processes, linear filtering, Kalman-Bucy filtering, sampling theorems for continuous-time series, multivariate time series (BMGT 798F) (Back)