ST422 Half Unit
Time Series
This information is for the 2011/12 session.
Teacher responsible
Dr. Clifford Lam COL 6.09 Availability
Primarily for MSc Statistics, MSc Statistics (Research), MSc Management Science (Operational Research), MSc Applicable Mathematics, MSc Financial Mathematics, MSc Risk and Stochastics, MSc Econometrics and Mathematical Economics. Pre-requisites
Good undergraduate knowledge of statistics and probability. Course content
A broad introduction to statistical time series analysis for postgraduates: what time series analysis can be useful for; autocorrelation; stationarity; basic time series models: AR, MA, ARMA; ARCH and GARCH models for financial time series; trend removal and seasonal adjustment; invertibility; spectral analysis; estimation; forecasting. If time permits, we will also discuss nonstationarity and bivariate time series.
Teaching
Lectures: 20 MT. Seminars: 10 MT. Indicative reading
Brockwell & Davis, Time Series: Theory and Methods; Brockwell & Davis, Introduction to Time Series and Forecasting; Box & Jenkins, Time Series Analysis, Forecasting and Control; Shumway & Stoffer, Time Series Analysis and Its Applications.
Assessment
Two-hour written examination in the ST. ^
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