100年第2學期-4852 時間序列 課程資訊

課程分享

選課分析

本課程名額為 70人,已有11人選讀,尚餘名額59人。

評分方式

評分項目 配分比例 說明
Attendence 10
Midterm Exam 30
Case presentation 30
Final 30

授課教師

黃愉閔

教育目標

As course information

課程概述

A time series is a sequence of observations that are arranged according to the time of their outcome. The reasons of doing time series analysis are diverse, depending on the background of applications. Statisticians usually view a time series as a realization from a stochastic process. A fundamental task is to unveil the probability law that governs the observed time series. For instance, we wish to gain a better understanding of the data generating mechanism, the prediction of future values. Many recent applications of time series receive much of attention in financial areas. However, time series analysis has also exhibited its importance across many scientific areas for a long history and the desire of such analysis is still going on. In this course, our flow is to spend around two thirds of time in the treatment from a traditional look of time series then to some recent models such as GARCH, long memory models and nonparametric methods. The course level is set for master students.

課程資訊

參考書目

Text Book: Introduction to Time Series and Forecasting (2nd Edition, by Peter J. Brockwell and Richard A. Davis)

Reference:

Time Series Analysis (2nd Edition, by William W.S. Wei)

Time Series Analysis (4th Edition, By George Box)