|
|
|
This is the preliminary program for the 2009 Joint Statistical
Meetings in Washington, DC.
|
|
|
The views expressed here are those of the individual authors and not necessarily those of the ASA or its board, officers, or staff. Back to main JSM 2009 Program page |
= Applied Session,
= Theme Session,
= Presenter| CE_23C | Tue, 8/4/09, 8:30 AM - 5:00 PM | RH-Meeting Rooms 12, 13, 14 |
| State Space Time Series Analysis in Practice - Continuing Education - Course | ||
|
ASA, Business and Economic Statistics Section |
||
| Instructor(s): Siem Jan Koopman, Vrije Universiteit Amsterdam | ||
| This course is designed for applied statisticians and students who are interested in time series analysis and forecasting. It provides a practical guide to the state space approach for time series. We will start with a simple model and discuss its statistical properties, estimation, and use for forecasting. Topics to be covered include the Kalman filter, smoothing methods, unobserved components, signal extraction, forecasting, stochastic volatility, and simulation. I will introduce the concepts by referring to the basic model throughout the course and show the more general implications via illustrations. A range of applications will be covered, including financial time series (returns, volatility, risk), economics (inflation, unemployment), engineering (signal extraction), medicine (intervention analysis), and marketing (multiple time series). They will be illustrated with the OxMetrics software system, including the user-friendly packages STAMP and SsfPack. Attendees will gain understand the basic ideas of state space time series analysis and how they can be applied. Only a basic knowledge of regression theory is required. | ||
|
JSM 2009
For information, contact jsm@amstat.org
or phone (888) 231-3473. If you have questions about the Continuing Education program,
please contact the Education Department. |