Statistics and Linear
Algebra Review
Course Page
Lecture 1, Tuesday Sep. 8, 2008 (Singapore Wednesday Sep.
9)
Basics
of Statistical Data Analysis, Random Variables, Distribution and Density
functions. Statistical inference.
Lecture
2, Wednesday Sep. 9, 2008 (Singapore Thursday Sep. 10)
Hypothesis
Testing. Z-test, t-test. Analysis of Variance
(ANOVA). Bartlett and Levene
tests for equal variance. Kolmogorov-Smirnov, Lilliefors and Jarque-Bera tests for goodness-of-fit. Maximum Likelihood Estimators.
Video3,Data1
Video4,Data2
Video5
Video6
Video8
Lecture
3, Tuesday Sep. 15, 2008 (Singapore Wednesday Sep. 16)
Time
series models, Moving Average, Autoregression. Autoregression
Function, Partial Autoregression Function. ARMA(p,q) models Stationary and
Non-Stationary models, Integrated models, ARIMA models. Model selection and Parameter
estimation
Lecture
4, Tuesday Sep. 22, 2008 (Singapore Wednesday Sep. 23)
GARCH models, Unit Root Tests,
Cointegration