Probabilistic and statistical tools for modeling time series

Paul Doukhan (University Cergy-Pontoise e French Universitary Institute)

Abstract
Time series appear naturally with data sampled in time, but
many other physical situations give rise to such evolutions
indexed by the integers.
We aim at providing some tools
for the study of such statistical models. The course aims
at
filling
a
gap
between
theoretical
and
applied
approaches.
It is divided into three parts, addressing
first generalities for probability and statistics in the
independent case as well as stationarity notions.
The
second and main part lists more or less standard classes of
time series models (Gaussian, linear, nonlinear, or
associated) and the last part provides an introduction to
the corresponding limit theory, beginning with ergodic
theory and following with long range and short range
dependence. Some few applications are also considered.
Public
Lectures are designed either for statisticians or for
mathematicians
interested in applications of temporal dependence for data.
Prerequisites
Prerequisites are basic probability theory and good skill
with mathematical analysis (real analysis, metric and
Hilbert spaces), since this short lecture course will not
cover the associated lecture notes in full.
Future
Many problems of interest are open for further research
projects. Discussions with students and colleagues will be
more than welcome.