Prof Piotr Fryzlewicz COL.6.01

This course is compulsory on the BSc in Actuarial Science and BSc in Statistics with Finance. This course is available on the BSc in Business Mathematics and Statistics and BSc in Mathematics with Economics. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.

2nd year statistics and probability

The course introduces the student to the statistical analysis of time series data and simple models. What time series analysis can be useful for; autocorrelation; stationarity, basic time series models; AR, MA, ARMA; trend removal and seasonal adjustment; invertibility; spectral analysis; estimation; forecasting; introduction to financial time series and the ARCH model.

20 hours of lectures and 10 hours of seminars in the LT.

Written answers to set problems will be expected on a weekly basis.

C Chatfield, The Analysis of Time Series; Brockwell & Davis, Introduction to Time Series and Forecasting; Brockwell & Davis, Time Series: Theory and Methods.

Exam (100%, duration: 2 hours) in the main exam period.