exercises for Thu April 7

We have started in Ch 4, the spectral domain, etc., and after a little while we will return to a few issues to round off Ch 3. This concerns in particular the so-called Whittle likelihood for stationary Gaussian time series, and using that tool we will learn a bit more also regarding estimation of parameters in the AR(p), MA(q), ARMA(p,q) models.

For Thu April 7, we will work more with Sections 4.1, 4.2, 4.3 in the book, including the periodogram, spectral densities, etc.

For Thu April 7, work with Nils Collection Exercises (Version F, as of March 24), 17, 21, 22, 23. Also, complement Exercise 17, by simulating a time series from an MA(2) model, and carry out ML estimation, using the x = A w reprtesentation from my lecture March 31.

I will write out more details for the next update of the Nils Collection, and there will me further R scripts.