Time series analysis of economic and financial data - Appunti

Appunti di Time series analysis of economic and financial data per l'esame della professoressa Petrone su:
Course Content Summary
Part I. Classical analysis of univariate time series.
Descriptive techniques. Decomposition of a time series; trends, seasonality, cycle. Moving average models. Nonparametric techniques
Exponential smoothing. Forecast and model comparison
Stochastic models. Stationary processes. Markov chains (basic notions). ARMA and ARIMA models (basic notions).
Parte II. Dynamic linear models for time series analysis.
State space models for time series analysis. Examples: non-stationary series; series with structural breaks; series with stochastic volatility; multivariate time series.
Hidden Markov models. Dynamic linear models.
Estimation, forecasting and control. Kalman filter.
Examples and applications to economic and financial time series Dynamic linear models for trend, seasonality, cycle. Dynamic regression by dlm.
Maximum likelihood estimation of unknown parameters.
Bayesian inference. Conjugate exppne analysis. Unknown covariance matrices: simple models (discount factors).
Analysis of multivariate time series (multivariate ARMA models; dynamic regression (estimation of the term structure of interest rates), models for macroeconomic variables).
Bayesian inference and forecasting via Markov chain Monte Carlo (MCMC). Recent developments.

I contenuti di questa pagina costituiscono rielaborazioni personali del Publisher Galileo911 di informazioni apprese con la frequenza delle lezioni di Time series analysis of economic and financial data e studio autonomo di eventuali libri di riferimento in preparazione dell'esame finale o della tesi. Non devono intendersi come materiale ufficiale dell'università Bocconi - Unibocconi o del prof Petrone Sonia.
Compra 4.99 €

Media: 4.5 su 2 valutazioni

  • 1
  • 30-08-2014
Pagine totali: 110
 
di 110
 
+ -
 
>
Time series analysis of economic and financial data - Appunti

Altri contenuti per Discipline economiche e sociali - economics and social sciences

 

Storia, istituzioni e crisi del sistema finanziario globale - Appunti


· Bocconi - Unibocconi
24.99 €
 
24.99 €
 
24.99 €
Trova ripetizioni online e lezioni private