Studies on Selected Topics IV
Postgraduate course, The Chinese University of Hong Kong, Department of Statistics, 2021
Further topics about Vector ARMA, Reduced Rank, Co-Integration and Factor Models.
2021 Fall Term
The learning schedule of course:
- Weeks 1-3: Introduction and Background of Vector ARMA
- Weeks 4-6: Canonical Structure of Vector ARMA
- Weeks 7-9: Least Squares and Maximum Likelihood Estimation of Vector ARMA
- Weeks 10-11: Reduced Rank and Co-Integration
- Weeks 12-13: Factor Models and Related Topics
Textbook: Reinsel, G.C. (1997). Elements of Multivariate Time Series, 2nd ed. Springer, New York.