100年第2學期-4852 時間序列 課程資訊
As course information
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.
Office HourOffice: M436 Office Hours: Wed. Session 2, 3 Thurs. Session 3, 4
Text Book: Introduction to Time Series and Forecasting (2nd Edition, by Peter J. Brockwell and Richard A. Davis)
Time Series Analysis (2nd Edition, by William W.S. Wei)
Time Series Analysis (4th Edition, By George Box)