Teaching plan for the course unit

 General information

Course unit name: Time Series Analysis

Course unit code: 572676

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%).

Book

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

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

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.