IT370
Course Name:
Time Series Analysis (IT370)
Programme:
Category:
Credits (L-T-P):
Content:
Stationary processes, ensemble, random walk Vs trend, periodicity, linear process; Estimators mean, ACF, PACF, variogram ;Properties covariance , normality ; Regression , models for trend, differencing, backshift operator ; Harmonic regression, periodogram, signal processing; Nonparametric regression, smoothing, periodic functions; Model selection, AIC, BIC, SIC, bias-variance trade-off; ARMA models; Estimation , MLE, LS, forward-backward ; State-space models ,Kalman filter, hidden state, HMM, Switching models, hidden Markov models (HMM), GARCH, stochastic volatility, financial models; Heteroscedasticity, Wavelets Vector Autoregressive (VAR) Models, Integrated Variables and Cointegrated VAR Models, Time-varying parameter and Bayesian VARs, Multivariate GARCH Models