IE 522
Fall 2021 All Classes
All Classes
Credit: 4 hours.
Methods of statistical modeling of signals and systems with an emphasis on finance applications. Review of linear algebra, probability theory, and spectral analysis; Linear Time Invariant (LTI) and ARX models; least-squares, maximum-likelihood, non-parametric, and frequency-domain methods; convergence, consistency and identifiability of linear models; asymptotic distribution of parameter estimates; techniques of model validation; Principle Component Analysis (PCA) for dimension reduction; ARCH and GARCH processes and their related models; implementation, application, and case-studies of recursive identification; Monte Carlo simulation.
Credit is not given for both IE 522 and GE 524. Prerequisite: MATH 415.
Section Status updates every 10 minutes.
| CRN | Type | Section | Time | Day | Location | Instructor | Section Details | |
|---|---|---|---|---|---|---|---|---|
|
55481
|
Online Lecture
|
A
|
9:30AM
-10:50AM
|
MW
|
n.a.
|
Feng, L
|
|