ST422      Half Unit
Time Series

This information is for the 2017/18 session.

Teacher responsible

Dr Wai-Fung Lam


This course is compulsory on the MSc in Statistics (Financial Statistics) and MSc in Statistics (Financial Statistics) (Research). This course is available on the MSc in Applicable Mathematics, MSc in Data Science, MSc in Econometrics and Mathematical Economics, MSc in Financial Mathematics, MSc in Marketing, MSc in Operations Research & Analytics, MSc in Quantitative Methods for Risk Management, MSc in Statistics and MSc in Statistics (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.


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; causality;  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. We will also discuss nonstationarity and multivariate time series.


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

Exercises will be given out to do at home during Week 6.

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.


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

Student performance results

(2013/14 - 2015/16 combined)

Classification % of students
Distinction 27.8
Merit 25.4
Pass 30.2
Fail 16.6

Key facts

Department: Statistics

Total students 2016/17: 68

Average class size 2016/17: 15

Controlled access 2016/17: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of information skills
  • Application of numeracy skills