302387 (v.2) Time Series Modelling 404

Area:

Department of Mathematics and Statistics

Credits:

25.0

Contact Hours:

3.0

Lecture:

3 x 1 Hours Weekly

Anti Requisite(s):

304193 (v.3) Time Series Modelling 504 or any previous version

Prerequisite(s):

302315 (v.2) Mathematical Statistics 202 or any previous version

Syllabus:

Exponential smoothing methods to forecast non-seasonal and seasonal time series. Stochastic time series models, fundamental concepts. Invertibility and stationarity, autocorrelation and partial autocorrelation, identification and estimation in non seasonal ARIMA models, forecasting and diagnostic checking. Seasonal time series models. Intervention analysis and outlier detection. Multivariate time series, vector ARMA and state-space modelling.

Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information.

Unit References:

Box, Jenkins and Reinsel 1994 Time Series Analysis: Forecasting & Control, Third Edition, Prentice Hall. Chatfield, Time Series: An Introduction, 3rd or later edition, Chapman & Hall. Cryer J.D., 1986 Time Series Analysis, PWS Kent. Preistley, 1981 Spectral Analysis and Time Series, Academic Press.

Unit Texts:

Wei W.S., 1994 Time Series Analysis: Univariate And Multivariate, Addison Wesley.

Unit Assessment Breakdown:

Three Assignments 30%, Two hour final examination 70%

Year	Location	Period	Internal	Area External	Central External
2004	Bentley Campus	Semester 2	Y