Teaching plan for the course unit

 

 
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General information

 

Course unit name: Time Series Analysis

Course unit code: 572676

Academic year: 2021-2022

Coordinator: Josep Vives Santa Eulalia

Department: Faculty of Mathematics and Computer Science

Credits: 3

Single program: S

 

 

Estimated learning time

Total number of hours 75

 

Face-to-face and/or online activities

30
 

-  Lecture

Face-to-face

  

15
 

(face to face and remote)
 

-  Lecture with practical component

Face-to-face

  

15
 

(face to face and remote)

Independent learning

45

 

 

Recommendations

 

Basic knowlege of Probability Theory and Statistics

 

 

Competences to be gained during study

 

CE1: To understand the importance of data in decision making.

CE5: To be able to propose models to describe time series using exploratory data analysis.

CE6: To be able to use analytical tools for time series prediction 

CE8: To be able to verify hypothesis from time series data.

  As far as possible, the gender perspective will be incorporated in the development of the subject

 

 

 

 

Learning objectives

 

Referring to knowledge

To study since a theoretical and a practical point of view, the current most used models to analyze time series data  

 

 

Teaching blocks

 

No..

Title

1

Basic notions of Time Series Theory

2

ARMA Models

3

ARIMA and SARIMA Models

4

GARCH Models

5

ARFIMA Models

6

Intervention Analysis

7

State Space Models

8

Multivariate Time Series and Cointegration

 

 

Teaching methods and general organization

 

This is a 30 hours course. The teaching will be face-to-face except if sanitary conditions force another regime. Half of the lectures will be theoretical and the other half, exercice-solving by computer. 

 

 

 

 

Official assessment of learning outcomes

 

Deliverance of several sets of theoretical an practical exercices done at home during the course (40%). Written and oral presentation of a final work (60%).

 

Examination-based assessment

Deliverance of several sets of theoretical an practical exercices done at home (40%). Written and oral presentation of a final work (60%).

 

 

 

Reading and study resources

Consulteu la disponibilitat a CERCABIB

Book

Brockwell, P. J. ; Davis, R. A. Introduction to time series and forecasting. New York : Springer : 1996.  Enllaç

Edició de 2002 en línia  Enllaç

Shumway, R. H. ; Stoffer, D.S. Time Series Analysis and its Applications with R Examples. New York (N.Y.) [etc.] : Springer : 2006.  Enllaç


Accés en línia  Enllaç

Brockwell P. J. ; Davis, R. A. Time Series: Theory and Methods. New York: Springer, 1991.

Cowperwait, P. S. P. ; Metcalfe, A. V. Introductory Time Series with R. New York: Springer, 2009.