MIT: Time Series Analysis III

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This is the last of three lectures introducing the topic of time series analysis, describing cointegration, cointegrated VAR models, linear state-space models, and Kalman filters.


Plan Name Price
3 Months: Free


Stephen Blyth

Dr. Stephen Blyth is Professor of the Practice of Statistics at Harvard University, and winner of the Phi Beta Kappa prize for excellence in teaching. He was previously President and CEO of the Harvard Management Company, responsible for managing the University’s endowment. Dr. Blyth earned a PhD in statistics from Harvard University at age 24, and an MA in mathematics with first class honors from Christ’s College, Cambridge, where he was Third Wrangler. After Harvard, he was a lecturer in mathematics at Imperial College, London.

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Stephen Blyth