Mutivariate Time Series

This repository contains all the homeworks, exercises and the project for the multivariate time series (MTS) imparted by the Colombian National University conducted by Hector Manuel Zarate Solano.

Description

This repository contains all the homeworks, exercises and the project for the multivariate time series (MTS) using the (MTS) library based on the book Ruey S. TSAY and the Factorminer library.

What I learned

1. Stationary time series models using the following test:

   • ADF (Augmented Dickey–Fuller test).
   • PP (Phillips–Perron test).
   • KPSS test.

2. VAR (Vector autoregressive models).

3. VMA (Vector moving average models).

4. VARMA ( Vector autoregressive moving average).

5. PCA ( Principal component analysis).