Time Series

 

Yi

In Lent 2014 I will be teaching Part III Time Series, which is one of the two units in Time Series and Monte Carlo. The main references are


1. Time Series: Theory and Methods. Springer-Verlag, 2009

    Peter J. Brockwell and Richard A. Davis

2. Introduction to Time Series and Forecasting. Springer-Verlag, 2002.

    Peter J. Brockwell and Richard A. Davis

  1. 3.Time Series Analysis and Its Applications, with R Examples. Springer Science + Business,2010.

    Robert H. Shumway and David S. Stoffer.

  

Please see below for the preliminary syllabus.


1. Stationary Time Series

2. Stationary ARMA Processes

3. Spectral Representation and Filters

4. Prediction of Stationary Processes

5. Estimation of the Mean and the Autocovariance Functions

6. Estimation for ARMA Models

7. Model Building and Forecasting with ARIMA Processes

8. Additional Time Domain Topics (Granger Causality & ARCH Model)



‘I had nothing to offer anybody except my own confusion.’ -- Jack Kerouac