| CODE | SOR5242 | ||||||||
| TITLE | Time Series 3 | ||||||||
| UM LEVEL | 05 - Postgraduate Modular Diploma or Degree Course | ||||||||
| MQF LEVEL | 7 | ||||||||
| ECTS CREDITS | 10 | ||||||||
| DEPARTMENT | Statistics and Operations Research | ||||||||
| DESCRIPTION | Students taking this study-unit will be assigned a number of topics selected from the ones below: - Time Series Decomposition Methods; - State Space Models and Hidden Markov Models; - Unit Root Tests and Cointegration; - Heteroskedastic Time Series Models; - Nonlinear Time Series Models; - Singular Spectrum Analysis; - Multivariate Time Series; - Continuous Time Series Models; - Stochastic Regression; - Intervention Analysis. Study-Unit Aims: To cover, theoretically, 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 have the knowledge, understanding, and ability of implementation of advanced time series techniques. 2. Skills By the end of the study-unit the student will be able to identify which techniques to use for which applications, and also be knowledgeable of the availability and use of software and open source routines that can come in useful to implement such routines. Main Text/s and any supplementary readings: - Anderson, T., (1971) The Statistical Analysis of Time Series, Wiley. - Brockwell, P.J. and Davis, R.A. (2010) Introduction to Time Series and Forecasting (Second Edition), Springer. - Brockwell, P.J., and Davis, R.A., (1991) Time Series :Theory and Methods, Springer. - Cox, D.R., Hinkley, D.V., Barndorff-Nielsen, O.E., (1996) Time Series Models, Chapman-Hall. - Cryer, J. and Chan, K. (2008). Time Series Analysis: With Applications in R. Springer. - Hamilton, J.D., (1994) Time Series Analysis, Princeton. - Lutkepohl, H. (1993). Introduction to Multiple Time Series Analysis. Springer. - Priestley, M.B., (1988) Non-linear and Non-stationary Time Series Analysis, Academic Press. |
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| ADDITIONAL NOTES | Pre-requisite Study-unit: SOR2230 - Time Series 1 | ||||||||
| STUDY-UNIT TYPE | Independent Study | ||||||||
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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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