MathMods :: Joint MSc

Additional Info

• ECTS credits: 6
• University: Autonomous University of Barcelona
• Semester: 3
• Lecturer 1: Pere Puig
• Objectives:

   

  This course is an introduction to Time Series Analysis and Forecasting. The level is the first-year graduate in Mathematics with a prerequisite knowledge of basic inferential statistical methods. The course provides the basic tools of the analysis of a time series in the time domain.

• Topics:

   

  Smoothing and filtering of time series; Stationary processes; ARIMA Models I; ARIMA Models II; Diagnostic checking and forecasting; Categorical and discrete time series.

• Books:

  P.J. Brockwell, R.A. Davis (2002): "Introduction to Time Series and Forecasting". Second Edition. Springer.

  P.J. Brockwell, R.A. Davis (1991): "Time Series. Theory and Methods". Springer-Verlag.

  N. H. Chan (2002): "Time Series. Applications to Finance". Wiley.

  Shumway, Robert H (2006). "Time Series Analysis and its Applications: with Rexamples". Springer Series in Statistics.

  Bloomfield, P. (2000). "Fourier Analysis of Time Series", Wiley.

  Brockwell, P. J. and Davis, R. A. (1996) "Introduction to Time Series and Forecasting", Springer, Berlin.

  Brockwell, P. J. and Davis, R. A. (1991) "Time Series: Theory and Methods", 2nd. Edit., Springer, Berlin.