Activity Number
CE_23C
has been added to your program
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CE_23C
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Tue, 8/4/09, 8:30 AM - 5:00 PM
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RH-Meeting Rooms 12, 13, 14
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State Space Time Series Analysis in Practice - Continuing Education - Course
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ASA, Business and Economics Statistics Section
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Instructor(s): Siem Jan Koopman, Vrije Universiteit Amsterdam
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This course is designed for applied statisticians and students who are
interested in time series analysis and forecasting. It provides a
practical guide to the state space approach for time series. We start
with a simple model and discuss its statistical properties, estimation
and use for forecasting. Topics to be covered include the Kalman
filter, smoothing methods, unobserved components, signal extraction,
forecasting, stochastic volatility and simulation. We introduce the
concepts by referring to the basic model throughout the course and show
the more general implications via illustrations. A wide range of
applications are covered including financial time series (returns,
volatility, risk), economics (inflation, unemployment), engineering
(signal extraction), medicine (intervention analysis), and marketing
(multiple time series). They are illustrated with the OxMetrics
software system, including the user-friendly packages STAMP and
SsfPack. Attendees of this course will gain a good knowledge of the
basic ideas of state space time series analysis and how they can be
applied. Only a basic knowledge of regression theory is required. |
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