Multivariate Time Series Analysis

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Yozgatlıgil C.

• Dersin Düzeyi: Yüksek Lisans
• Tasarlanan Ders Kodu: STAT 563
• Öğretim Türü: Örgün Öğretim (Normal Öğretim)
• Dersin Kapsamı: Teorik ve Uygulama
• Akademik Yıl: 2008 - 2009
• Ders İçeriği:

  Transfer function models and cross-spectral analysis, time series regression and GARCH models, vector time series models, error-correction models, cointegration and causality, state space models and Kalman filter, long memory processes, nonlinear processes, temporal aggregation and disaggregation.