ST422      Half Unit
Time Series

This information is for the 2023/24 session.

Teacher responsible

Prof Wai-Fung Lam

Availability

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.

This course has a limited number of places (it is controlled access). In previous years we have been able to provide places for all students that apply but that may not continue to be the case.

Pre-requisites

Good undergraduate knowledge of statistics and probability. Previous programming experience is not required but students who have no previous experience in R must complete an online pre-sessional R course from the Digital Skills Lab before the start of the course (https://moodle.lse.ac.uk/course/view.php?id=7745).

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 if time permits.

Teaching

This course will be delivered through a combination of classes, lectures and Q&A sessions totalling a minimum of 30 hours across Autumn Term. This course includes a reading week in Week 6 of Autumn Term. Exercises will be given out to do at home during Week 6.

 

Formative coursework

Weekly exercises will be given.

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

Exam (80%, duration: 2 hours) in the spring exam period.
Coursework (20%) in the AT.

The course will be assessed by an examination (80%) and a coursework (20%) involving case studies which will be submitted in AT.

Student performance results

(2019/20 - 2021/22 combined)

Classification % of students
Distinction 36.6
Merit 33.5
Pass 18.8
Fail 11

Key facts

Department: Statistics

Total students 2022/23: 67

Average class size 2022/23: 22

Controlled access 2022/23: Yes

Lecture capture used 2022/23: Yes (MT)

Value: Half Unit

Guidelines for interpreting course guide information

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.

Personal development skills

  • Application of information skills
  • Application of numeracy skills