Review Outline for Time Series

1. Fundamental concepts (2.1-2.7)

1. Stationarity: covariance stationary
2. Autocovariance and autocorrelation functions (ACF)
3. Partial autocorrelation function (PACF)
4. Sample ACF and PACF
5. Linear difference equations: know how solution depends on roots

2. Stationary (ARMA) models (3.1-3.4)

1. AR(p): difference equation representation, stationarity conditions, characteristics of ACF and PACF
2. MA(q): difference equation representation, invertibility conditions, characteristics of ACF and PACF
3. ARMA(p,q): difference equation representation, stationarity and invertibility conditions, characteristics of ACF and PACF
4. MA representation of stationary ARMA
5. AR representation of invertible ARMA