Time Series
Below there is some material I used to teach the course Advanced Time Series Analysis in the academic year 2005-2006. Part of this material is also used in the course on Time Series part of the Master en Modelización Matemática, Estadística y Computación; in 2011-2012 I will teach two modules of said course (Spectral Analysis and State-space Models).Syllabus and bibliography
- Here it is the syllabus and bibliography of Advanced Time Series Analysis for the academic year 2005-2006.
- This is the syllabus and bibliography of the course Series Temporales in the Master en Modelización Matemática, Estadística y Computación.
Problem sets
In a normal quarter, students do between 6 and 8 problem sets, which are assigned approximately with a bi-weekly periodicity.- Problem set 1. Repaso conceptos básicos series temporales.
- Problem set 2. Modelos autorregresivos vectoriales (VAR).
- Problem set 3. Filtro y suavizador de Kalman.
- Problem set 4. Modelos en espacio de estado.
- Problem set 5. Desestacionalización, analisis espectral.
- Problem set 6. Analisis espectral.
- Problem set 7. Filtrado de Kalman, modelos estucturales.
Previous years exams