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Appunti di Time series analysis of economic and financial data

Esame Time series analysis of economic and financial data

Facoltà Economia

Appunto
5 / 5
Appunti di Time series analysis of economic and financial data su Analisi delle Serie Storiche - Approccio Classico basati su appunti personali del publisher presi alle lezioni della prof. Scepi dell’università degli Studi di Napoli Federico II - Unina. Scarica il file in formato PDF!
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Esame Time series analysis of economic and financial data

Facoltà Economia

Appunto
4,5 / 5
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.
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