1. 3 mo treasury yield borrowing costs Dow industrials NY Times 18 Sept 2008 front page

2. Stat 153 - 16 Sept 2008 D. R. Brillinger Chapter 3 mean function variance function autocovariance

3. Strictly stationary Normal/gaussian - all joint distributions jointly normal Wide sense stationary vs. second-order

4. Properties of autocovariance

5. Useful models Purely random Building block

6. Random walk not stationary

7. *

8. Moving average, MA(q) From * stationary

10. Backward shift operator Linear process. Need convergence condition

11. autoregressive process, AR(p) first-order, AR(1) Markov Linear process For convergence/stationarity *

12. a.c.f. From * p.a.c.f.

13. In general case, Very useful for prediction

14. ARMA(p,q)

15. ARIMA(p,d,q).

17. Yule-Walker equations for AR(p). Correlate, with X t-k, each side of For AR(1)