A stochastic process (aka a random process) is a collection of random variables ordered by time. This is the “population version” of a time series (which plays the role of a “sample” of a stochastic process).
Topics
- Stationary Process
- Autocorrelation Function
- Partial Autocorrelation Function
- Purely Random Time Series (white noise)
- Random Walk
- Deterministic Trend
- Dickey-Fuller Test
- Real Statistics Time Series Testing Tools
- Correlogram
- Handling Missing Time Series Data
- Hampel Outlier Detection and Filtering
References
Greene, W. H. (2002) Econometric analysis. 5th Ed. Prentice-Hall
https://www.scirp.org/(S(351jmbntvnsjt1aadkposzje))/reference/referencespapers.aspx?referenceid=1243286
Gujarati, D. & Porter, D. (2009) Basic econometrics. 5th Ed. McGraw Hill
http://www.uop.edu.pk/ocontents/gujarati_book.pdf
Hamilton, J. D. (1994) Time series analysis. Princeton University Press
https://press.princeton.edu/books/hardcover/9780691042893/time-series-analysis
Wooldridge, J. M. (2009) Introductory econometrics, a modern approach. 5th Ed. South-Western, Cegage Learning
https://cbpbu.ac.in/userfiles/file/2020/STUDY_MAT/ECO/2.pdf