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An in-depth introduction to time series analysis, from learning structured models to predictions and reinforcement learning, with hands-on projects - Part of the MITx MicroMasters program in Statistics and Data Science.
Syllabus
- Analyze time series through the perspective of Linear Time-invariant (LTI) systems and use methods and tools such as spectral analysis.
- Model time series using autoregressive moving average (ARMA) and integrated processes.
- Perform prediction, imputation on general time series data using matrix completion methods.
- Use various dynamical programming and reinforcement learning algorithms to optimize control and interventions for time series.
Taught by
Munther Dahleh, Devavrat Shah, Mardavij Roozbehani, and Karene Chu