| CODE | SOR3231 | ||||||||||||||||
| TITLE | Time Series 2 | ||||||||||||||||
| UM LEVEL | 03 - Years 2, 3, 4 in Modular Undergraduate Course | ||||||||||||||||
| MQF LEVEL | 6 | ||||||||||||||||
| ECTS CREDITS | 4 | ||||||||||||||||
| DEPARTMENT | Statistics and Operations Research | ||||||||||||||||
| DESCRIPTION | The topics which will be covered will be: - A brief review of ARIMA/SARIMA models; - Spectral representation of stationary processes; - Inference for the spectrum of a stationary process; - Multivariate time series analysis; - Stochastic regression; - Conditionally heteroskedastic models (ARCH, GARCH and variants); - State space models and Kalman recursions; - Unit root tests (further theory). Study-Unit Aims: Statistics students are exposed to time series analysis in SOR2230. In this unit they cover more advanced time series topics and also be able to implement them in practice through various software and open source code routines (particularly in R) of one's choice. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to: - view stationary time series models from a frequency-domain perspective as well as a time domain one; - generalise current knowledge on univariate models to multivariate and state-space perspectives; - generalise current knowledge on regression to a time-series setting; - view the noise process as potentially heteroscedastic, rather than an independent identically distributed process. 2. Skills By the end of the study-unit the student will be able to: - interpret frequency domain outputs to identify the properties of a time series; - identify potential techniques to use for various time series applications; - use various types of software (including R and SPSS) for the implementation of different models; - interpret statistical outputs related to the models covered appropriately. Main Text/s and any supplementary readings: - Brockwell, P.J. and Davis, R.A. (1996) Introduction to Time Series and Forecasting - 1st Edition (corr. 3-rd printing 1998), Springer (CD-ROM included) - Brockwell, P.J. and Davis, R.A. (1991) Time Series: Theory and Methods - 2nd Edition (corr. 6-th printing 1998), Springer - Hamilton, J.D. (1994) Time Series Analysis, Princeton University Press - Lutkepohl, H. (1993). Introduction to Multiple Time Series Analysis. Springer. |
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| RULES/CONDITIONS | Before TAKING THIS UNIT YOU MUST TAKE SOR1110 AND TAKE SOR2230 | ||||||||||||||||
| STUDY-UNIT TYPE | Lecture, Independent Study & Tutorial | ||||||||||||||||
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| LECTURER/S | David Paul Suda |
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2024/5. It may be subject to change in subsequent years. |
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