AMS 586, Time Series
Linear time series models, moving average (MA), autoregressive (AR), ARMA and ARIMA models, estimation and forecasting, interval predictions, forecast errors, stationary processes in the frequency domain, state-space models. This course is offered as both AMS 316 and AMS 586.
Prerequisite: AMS 572
3 credits, ABCF grading

Text: Statistical Models and Methods for Financial Markets, by T.L. Lai and H. Xing, Springer

Actuarial Exam: A student receiving a B- or better in this course and in AMS 578 satisfies the Actuarial Exam test in Applied Statistics, through the Society of Actuaries Validation by Educational Experience program. For more details about actuarial preparation at Stony Brook see Actuarial Program

Fall Semester

Fall 2008 Section
Haipeng Xing, MW 3:50-5:10 pm, Union 123, AMS 586 Webpage