Multivariate time series models, cointegration models, multivariate stochastic volatility models, multivariate time series regression models, quantile time series models and non- linear time series models. Mathematical treatment of specification, estimation and forecasting as well as applications in R.

Prerequisites: PSTAT 274; and, PSTAT 207A or 213A or 220A.

4

Units

Optional

Grading

1, 2, 3

Passtime

None

Level Limit

Letters and science

College
Gareth Peters
3.6
5 reviews
PSTAT 277B Peters G W Winter 2024 Total: 5
PSTAT 277B Peters G W Spring 2023 Total: 8
5
3.6
PSTAT174 . 12 Days Ago

I took Professor Peters's graduate course as an undergraduate and initially considered dropping it. However, Dr. Peters encouraged me to stick with it, and I'm glad I did. His lectures were very interesting: He has a deep understanding of the material and consistently took time to check in on my progress and explain concepts thoroughly.

1 helpful 0 unhelpful
PSTAT174 . 2 Years Ago

Prof. Peters really cares about students and went above and beyond to help us. However, the structure of the course could be improved. We had to learn all the math in 5/6 weeks, and the math in this class is very difficult. I could've learned the materials better if we started with math right away then moved on to the project in week 9/10.

1 helpful 0 unhelpful
PSTAT174 . 2 Years Ago

A lot of math proofs and derivations starting from week four. All homework / midterm are assigned after week 6. Really weird schedule. The professor is nice and held extra office hours to provide help.

0 helpful 0 unhelpful
PSTAT174 . 2 Years Ago

Many concepts are unclear in his lecture and there are so many mathematical proofs required for this course that are difficult to understand. I regret to take this quarter taught by him.

0 helpful 0 unhelpful
PSTAT174 . 2 Years Ago

Amazing Professor. SHORT & EASY Final. Every stats students shall not hesitate to take this course!

1 helpful 1 unhelpful
PSTAT 237
25 / 30 Enrolled
Uncertainty Quantification
Mengyang Michael Gu 3.8
M W
09:30 AM - 10:45 AM
100.0% A
PSTAT 262MC
18 / 30 Enrolled
Seminars in Probability and Statistics
Alexander Shkolnik 3.7
F
10:00 AM - 11:50 AM
92.9% A
PSTAT 263
14 / 75 Enrolled
Research Seminars in Probability and Statistics
Guo Yu 2.9 Gareth Peters 3.6
M W
15:30 PM - 16:45 PM
PSTAT 274
12 / 20 Enrolled
Time Series
Tomoyuki Ichiba 3.8
T R
11:00 AM - 12:15 PM
84.6% A
PSTATW 274
16 / 20 Enrolled
Time Series
Feldman R
70.6% A
PSTAT 296B
7 / 18 Enrolled
Research Projects in Actuarial Science
Gareth Peters 3.6
F
12:00 PM - 13:50 PM
96.8% A