103年第1學期-1761 時間序列 課程資訊

評分方式

評分項目	配分比例	說明
Attendance	10
Group Homework	20
Quiz	20
Midterm Exam	20
Final Exam	30

教育目標

This course is to provide introductory lessons in time series for the third and fourth year of undergraduates. The goal is to let undergraduate senior students learn basic statistical properties of time series such as stationary distribution, ACF, PACF, and to learn traditional Box and Jenkin's time series linear models then they can perform simple analysis on time series using these methods and skills. Further, the course will also contain the topics about multiple time series using time series regression. Some newly and advanced methods may also be introduced.

課程概述

A time series is a sequence of observations that are arranged according to the time of their outcome. 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. This course is to provide introductory lessons in time series for the third and fourth year of undergraduates, who have major interests in statistics, and have finished some elementary courses, such as statistics, calculus, linear algebra and regression. The courses will be in three parts. The first part will be on the focus of regression, including a quick overall review of basics and an extension of regression modeling particularly required for time series data. The second part is aimed at the ARIMA models and seasonal models, which are traditional treatments established by Box and Jenkins. The third part is to introduce some new advances in time series or more real applications of time series models. Served as an undergraduate course, the topics will not be expected to go in great depth but to learn basic approach and to prepare background for further advanced studies.

基本資料

選修課，學分數：3-0
上課時間：一/6[M221] 四/3,4[M222]
修課班級：統計系3,4
修課年級：年級以上
選課備註：A群組

參考書目

Elements of Forecasting, 4th Edition (Francis X. Diebold) --- 滄海代理