Dr Yining Chen COL 5.08

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.

2nd year statistics and probability

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.

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.

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

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 Zakoian, GARCH Models: Structure, Statistical Inference and Financial Applications

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

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