11. Time Series Analysis II

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: ocw.mit.edu/18-...
Instructor: Peter Kempthorne
This is the second of three lectures introducing the topic of time series analysis, describing multivariate time series, representation theorems, and least-squares estimation.
License: Creative Commons BY-NC-SA
More information at ocw.mit.edu/terms
More courses at ocw.mit.edu

[@fidelesteves6393]

Very happy with this lecture. By now I think it is the better class of this professor, made me understand a lot of concepts that were not clear in my mind. However it is a hard subject, regardless the teacher or the camera man. I am sure that even after watching all the serie I will have to come back to some classes and study even more.

[@bechone100]

Time series starts from 29:27

[@irvingvargas66]

Thanks! You're the MVP

[@englishexpressvocabnwriting]

Thanks

[@MegaMadMike99]

Zz

[@MegaMadMike99]

A

[@SphereofTime]

1:17:40 model selection:bayesian information criteria

[@SphereofTime]

5:13 stationary VAR steps

[@SphereofTime]

1:14:00 MLE of var(p) model

[@qiguosun129]

Definitely good lecture. If you feel hard to follow it, it is recommended to learn some basic knowledge first because basically the Professor flies the ppt.

[@валерийсоколов-п4я]

Very happy with this lecture

[@nardok2303]

Pity it was a bit rushing at this part , would really like to hear more in detail from this professor

[@SphereofTime]

1:20 GARCH

[@himanshushrivastava6841]

I believe this could be more beneficial if professor could add some solved examples to explain the process .....it is not easy to follow all that theoretical stuff.....

[@WallaceRoseVincent]

Anyone interested in working through the course together?

[@SphereofTime]

43:00 Secondordercrossmoment

[@Старкрафт2комедия]

camera man sucks. we need to see the slides, not professors handwaving!!!!!!

[@mitocw]

+Surge Milashuk The slides are available on MIT OpenCourseWare at: ocw.mit.edu/18-S096F13

[@jiancongwang1268]

Yeah the editing is really annoying.

[@JeremAl]

It's free ... ;) (and slides are well filmed)

[@gabrielfab4256]

Really it is devastating ... I have no access to any university and could not find any descent material in applied financial on the internet ... and you r puting well experienced and good doctors with good materials but the editing the filming and using the slides makes it impossible to follow up in an efficient way ... the course is like a delicious cookie you can smell it but u can not eat it and enjoy it By the way materials can be free and suck at the same time

[@Eizengoldt]

@@gabrielfab4256bro they posted the slides 5 years before your comment