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12. Time Series Analysis III

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  • 5 years ago
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MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013
View the complete course: http://ocw.mit.edu/18-S096F13
Instructor: Peter Kempthorne

This is the last of three lectures introducing the topic of time series analysis, describing cointegration, cointegrated VAR models, linear state-space models, and Kalman filters.

License: Creative Commons BY-NC-SA
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