STAT563 MULTIVARIATE TIME SERIES
| Course Code: |
2460563 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
7.0 |
| Department: |
Statistics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
Prof.Dr. CEYLAN YOZGATLIGÝL |
| Offered Semester: |
Spring Semesters. |
Course Content
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.
