ST304      Half Unit
Time Series and Forecasting

This information is for the 2021/22 session.

Teacher responsible

Dr Yining Chen COL 5.08

Availability

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

Pre-requisites

2nd year statistics and probability

Course content

The course introduces the student to the statistical analysis of time series data and simple models, and showcase what time series analysis can be useful for. Topics include: autocorrelation; stationarity, trend removal and seasonal adjustment, basic time series models; AR, MA, ARMA; estimation; forecasting; unit root test; introduction to financial time series and the GARCH models;  basic spectral analysis. R demonstrations will also be included.

Teaching

This course will be delivered through a combination of classes, lectures and Q&A sessions totalling a minimum of 30 hours across Lent Term. This year, some of this teaching may be delivered through a combination of classes and flipped-lectures delivered as short online videos. This course includes a reading week in Week 6 of Lent Term.

Formative coursework

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

Indicative reading

Peter J. Brockwell and Richard A. Davis, Introduction to Time Series and Forecasting

Robert H. Shumway and David S. Stoffer, Time Series Analysis and Its Applications: With R Examples


Christopher Chatfield, The Analysis of Time Series

Ruey S. Tsay, An Introduction to Analysis of Financial Data with R

Peter J. Brockwell and Richard A. Davis, Time Series: Theory and Methods

Christian Francq and Jean-Michel Zakoïan, GARCH Models: Structure, Statistical Inference and Financial Applications

Assessment

Exam (90%, duration: 2 hours) in the summer exam period.
Coursework (10%).

Course selection videos

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.

Student performance results

(2018/19 - 2020/21 combined)

Classification % of students
First 37.1
2:1 29.6
2:2 17.2
Third 7
Fail 9.1

Important information in response to COVID-19

Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.

Key facts

Department: Statistics

Total students 2020/21: 69

Average class size 2020/21: 17

Capped 2020/21: No

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Problem solving
  • Application of information skills
  • Communication
  • Application of numeracy skills
  • Commercial awareness
  • Specialist skills