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KCL Time Series Analysis

This class was created by Brainscape user tyrion lannister. Visit their profile to learn more about the creator.

By: tyrion lannister
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Decks in this class (11)

Week 1
Skip a topic,
Stochastic process,
For stochastic process mean var a...
18  cards
Week 2
Ar p,
Backshift operator,
Stationarity from associated poly...
24  cards
Week 3
4 properties of ols for linear mo...,
Wether to use yule walker equatio...,
When to use conditional least squ...
12  cards
Week 4 old
Continuously compounded returns,
Definition of convex function,
Jensens inequality and how to tes...
3  cards
week 4
Define yt for stock price using g...,
Properties of continuously compou...,
Formula for kurtosis
13  cards
Lecture 5 Slides
What is a state space model,
Partitioned gaussian density,
Overview of kalman filtering
7  cards
Week 6
How and when to use pit,
Generalisation of probability int...,
Convert pit to gaussian
11  cards
Week 7 Skills
Sv model
1  cards
Lecture 6 And 7 Slides
Alternative derivation of kalman ...,
For invertible a c,
Alternative update step
10  cards
Markov Chain Monet Carlo
Detailed balance equation,
Metropolis hastings algorithm,
Transition kernel of metropolis h...
3  cards
Exam Prep
Law of total expectationlaw of to...
1  cards

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KCL Time Series Analysis

  • Class purpose General learning

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