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: |
|
| 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.
