304193 (v.3) Time Series Modelling 504

Area:

Department of Mathematics and Statistics

Credits:

25.0

Contact Hours:

3.0

Lecture:

1 x 3 Hours Weekly

Anti Requisite(s):

302387 (v.2) Time Series Modelling 404 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 & Stationarity, Autocorrelation & 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