Academic Catalog

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. ZEYNEP IÞIL KALAYLIOÐLU AKYILDIZ
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.