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Curricular information is subject to change
Upon completion of this module students will be able to:
1. Identify the stationarity properties of a time series,
2. Model the time series using Box-Jenkins ARIMA techniques,
3. Estimate parameters for ARIMA models using a variety of procedures,
4. Produce forecasts for a given time series,
5. Be familiar with additional topics such as cointegration, vector auto regressive models...
Student Effort Type | Hours |
---|---|
Lectures | 18 |
Tutorial | 12 |
Computer Aided Lab | 4 |
Specified Learning Activities | 10 |
Autonomous Student Learning | 75 |
Total | 119 |
Familiarity with basic probability concepts such as Probability distribution, Expectation, Variance, Covariance and Correlation. Knowledge of the main probability distributions (normal distribution, chi-square, ...). Basic linear algebra (vectors, matrices).
Learning Recommendations:Students should have a knowledge of statistical inference at a level equivalent to that which would be achieved upon completion of "Inferential Statistics" STAT20100.
Basic knowledge in linear algebra (vectors, matrices). Knowledge of linear models and least square estimation which would be achieved upon completion of "Data Modelling for Science" STAT20070 or "Predictive Analytics I" STAT30240 would be beneficial.
Resit In | Terminal Exam |
---|---|
Spring | Yes - 2 Hour |
• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment
Not yet recorded.
Name | Role |
---|---|
Kseniia Maksimova | Tutor |
Pedro Menezes De Araújo | Tutor |
Lecture | Offering 1 | Week(s) - 1, 2, 3, 4, 6, 7, 8, 9, 10, 11, 12 | Mon 11:00 - 11:50 |
Lecture | Offering 1 | Week(s) - 5 | Mon 11:00 - 11:50 |
Tutorial | Offering 1 | Week(s) - Autumn: Even Weeks | Thurs 17:00 - 17:50 |
Tutorial | Offering 1 | Week(s) - Autumn: Even Weeks | Tues 17:00 - 17:50 |
Lecture | Offering 1 | Week(s) - Autumn: All Weeks | Wed 12:00 - 12:50 |
Laboratory | Offering 1 | Week(s) - 5, 7, 9, 11 | Tues 17:00 - 17:50 |
Laboratory | Offering 2 | Week(s) - 5, 7, 9, 11 | Wed 17:00 - 17:50 |
Laboratory | Offering 3 | Week(s) - 5, 7, 9, 11 | Wed 15:00 - 15:50 |
Laboratory | Offering 4 | Week(s) - 5, 7, 9, 11 | Tues 17:00 - 17:50 |
Laboratory | Offering 5 | Week(s) - 5, 7, 9, 11 | Wed 17:00 - 17:50 |
Laboratory | Offering 6 | Week(s) - 5, 7, 9, 11 | Wed 15:00 - 15:50 |