European Courses in Advanced Statistics - Courses
The Sixth Course in the ECAS Programme:
| Time Series Analysis |
| SAN LORENZO DEL ESCORIAL, MADRID, SPAIN |
| September 15-19, 1997 |
Scientific Programme Committee:
F. Droesbeke (Brussels, Chairman)
M. Deistler (Technische Universität Wien)
S. Heiler (Konstanz)
A. Maravall (Bank of Spain)
D. Peña (Universidad Carlos III de Madrid, Chairman)
G.T. Wilson (Lancaster University)
Organising Committee:
D. Peña (Universidad Carlos III de Madrid, Chairman)
A. Alonso (Real Colegio Univ. María Cristina, UCM)
D. Hand (Open University)
J. del Hoyo (U. Autónoma de Madrid)
R. Kaiser (Universidad Carlos III de Madrid)
J. Romo (Universidad Carlos III de Madrid)
E. Ruiz (Universidad Carlos III de Madrid)
M.J. Sánchez (U. Politécnica de Madrid)
Arthur Treadway (U. Complutense de Madrid)
Topics:
- Introduction. Data, problems, models and examples.Univariate Linear time series models. Stochastic Processes.
Spectral representation. State Space models. AR/MA/ARMA models. Univariate identification. Estimation and diagnosis of linear time series. Prediction and Model selection.
- Outliers, missing values and influential
Observations. Non linear Time series models. Seasonality. Signal
extraction. Automatic modeling methods for univariate series. Case
Studies. Stochastic Volatility. GARCH Models. Categorical and Discrete
Data.
- Non parametric methods. Kernel
estimates.Multivariate Linear Systems. VARMA modeling. Estimation and
Forecasting of Vector Time series. Cointegration and Common Factors.
Neural Networks. Case Studies. Bayesian Methods.
- Panel discussion: In what directions is research in
time series leading?
Lecturers:
M. Deistler (Technische Universität Wien)
C. Gourieroux (CREST, Paris)
S. Heiler (Universität Konstanz)
K. Hornik (Technische Universität Wien)
S. Johansen (University of Copenhagen)
A. Maravall (Bank of Spain)
D. Peña (Universidad Carlos III de Madrid)
G.C. Tiao (University of Chicago)
R.S. Tsay (University of Chicago)
G.T. Wilson (Lancaster University)