Concept

Vector autoregression

Related lectures (26)

Vector Autoregression: Modeling Vector-Valued Time Series

Explores Vector Autoregression for modeling vector-valued time series, covering stability, reverse characteristic polynomials, Yule-Walker equations, and autocorrelations.

Vector Autoregression (VAR): Sampling Properties and Examples

Covers Vector Autoregression (VAR) in time series analysis, including sampling properties and examples of VAR processes.

Vector Autoregression

Explores Vector Autoregression for modeling vector-valued time series, covering stability, Yule-Walker equations, and spectral representation.

Time Series Models: Autoregressive Processes

Explores time series models, emphasizing autoregressive processes, including white noise, AR(1), and MA(1), among others.

Multivariate Time Series: Cointegration & Forecasting

Explores multivariate time series analysis, cointegration, forecasting with ARMA models, and practical applications in interest rates analysis.

Parametric Signal Models: Matlab Practice

Covers parametric signal models and practical Matlab applications for Markov chains and AutoRegressive processes.

Time Series: Linear Filtering and Spectral Estimation

Explores linear filtering, spectral estimation, and second-order stationarity in time series analysis.

Time Series

Explores Time Series, covering model specification, diagnostics, and forecasting methods.

Model Choice and Prediction

Explores model choice, prediction, and forecasting techniques in time series analysis.

Time Series: Representation and Modelling

Covers the stochastic properties of time series, stationarity, autocovariance, special stochastic processes, spectral density, digital filters, estimation techniques, model checking, forecasting, and advanced models.

Time Series: Fundamentals and Models

Covers the fundamentals of time series analysis, including models, stationarity, and practical aspects.

Signal Models and Methods: Parametric vs Nonparametric

Provides an overview of signal models and methods in statistical signal processing.

Univariate time series: Analysis & Modeling

Covers the analysis and modeling of univariate time series, focusing on stationarity, ARMA processes, and forecasting.

Integrated and Seasonal Processes: Time Series

Explores parametric estimation, integrated processes, seasonal modeling, and ARIMA model building in time series analysis.

Time Series: Structural Modelling and Kalman Filter

Covers structural modelling, Kalman Filter, stationarity, estimation methods, forecasting, and ARCH models in time series.

VaR Model Evaluation

Discusses Monte Carlo VaR accuracy, confidence intervals, backtesting, and multivariate distributions.

Binary Choice Models and Time Series Analysis

Explores binary choice models like probit and logit, as well as univariate time series analysis with ARIMA models for forecasting economic variables.

Dynamic Functional Connectivity: Fundamentals

Covers the fundamentals of dynamic functional connectivity in the human brain, exploring challenges and analysis methods.

Time Series: Common Models

Covers common time series models, trend removal, and seasonality adjustment techniques.

Time Series Analysis: ARMA Models

Explores ARMA models in time series analysis, covering model selection, forecasting, and precision assessment.