[情報] 關於明日的多變量時間序列
Lectures:
Morning Sessions: 9:00-10:20 and 10:40-12:00
Afternoon Sessions: 2:00-3:20 and 3:40-5:00
(Adjustable Based on the Actual Pace)
Outline:
1. January 19 (M): Introduction and transfer function models
2. January 19 (A): Properties of vector time series and vector AR models
3. January 21 (M): Vector MA and VARMA models including identifiability
4. January 21 (A): Unit-root theory and co-integration (& Discussion)
5. January 25 (M): Co-integration tests and applications to pairs trading in
finance
6. January 25 (A): Structural speficition: Kronecker index
7. January 27 (M): Structural specification: scale component models
8. January 27 (A): Vector seasonal time series models
9. Januray 29 (M): Diffusion index and dynamic factor models
10. January 29 (A): State-space models and Kalmanfilter
Place:
Lecture Room A (1/19, 1/21, 1/25, 1/27) & Lecture Room B (1/29),
th rd 4 Floor, The 3 General Building, National Tsing Hua University
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明天早上9：00在四樓國家理論中心的Lecture Room A，
希望我聽得懂...有興趣的人一起GO吧。
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