(TimeSeriesMasterLevel1)

MasterofStatistics
CourseofAnnouncementFall2005

Text Books: Time Series Analysis: Univariate and Multivariate

Methods by W. W. S. Wei, Addison Wesley 1990. ISBN 0-20115911-2.( 02-362-5367)
Instructor:
Tsair-chuan Lin
Office: 0714
Office hours: Tu, Th am10~12
Tel: 86746775
E-mail: tsair@mail.ntpu.edu.tw
web.ntpu.edu.tw/~tsair

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Required:

some fundamental of Regression or Linear Model

Supplementary Reading:

Introduction to Time Series and Forecasting by P.J. Brockwell and

R.A. Davis
Time Series: Theory and Methods, 2nd Edition, Brockwell and Davis
The Analysis of Time Series, An Introduction, Chatfield
Introduction to Statistical Time Series, Fuller
Time Series Analysis: Forecasting and Control, Box, Jenkins and
Reinsel
Time Series Analysis and its Applications, Shumway and Stoffer

Tentative Schedule
1. Introduction to time series and time series models. (Chapter 1
notes, 2 days)
2. Review of multiple regression and descriptive, and further
introduction to time series analysis. (Notes; 6 days) Graphical

techniques, transformations, analysis of residuals,

autocorrelation.
3. Fundamental concepts. (Chapter 2,6, notes; 10 days) Stochastic
processes, process and sample autocorrelation function, partial
autocorrelation function.
4. Stationary time series models. (Chapter 3, notes; 6 days) ARIMA
models, model identification.
5. Estimation in time series. (Chapter 7, notes; 2 days) Nonlinear
least squares, potential problems, diagnostic checking and
residual analysis.
6. Nonstationary time series. (Chapter 4; 3 days) Differencing,
transformation, identification.
7. Forecasting and prediction intervals. (Chapter 5, notes; 4
days)
8. Seasonal time series models. (Chapter 8; 3 days) SARIMA models,
identification, estimation, forecasting.
9. Transfer function and intervention models. (Chapters 9 and 13;
11 days)
10.

Vector (multivariate) time series. (Chapter 14, notes; 3

days)

Contents
1. CHAPTER 1

Overview

2. CHPATER 2

Fundamental Concepts

3. CHAPTER 3

Stationary Time Series Models

4. CHAPTER 4

Nonstationary Time Series Models

5. CHAPTER 5

Forecasting

6. CHAPTER 6

Model Identification

7. CHAPTER 7
Parameter Estimation, Diagnostic Checking and
Model Selection
8. CHAPTER 8

Seasonal Time Series Models

9. CHAPTER 9

Testing for Unit Roots

10.

CHAPTER 10

Intervention Analysis and Outlier Detection

11.

CHAPTER 11

Fourier Analysis

12.

CHAPTER 12

Spectral Theory of Stationary Processes

13.

CHAPTER 13

Estimation of Spectrum

14.

CHAPTER 14

Transfer Function Models

15.

CHAPTER 15

Time Series Regression and GARCH Models

16.

CHAPTER 16

Vector Time Series Models

17.

CHAPTER 17

More on Vector Time Series

18.

CHAPTER 18

State Space Models and the Kalman Filter

19.

CHAPTER 19

Long Memory and Nonlinear Processes

20.

CHAPTER 20
Series

Aggregation and Systematic Sampling in Time

Grading:
Mid-term test (30%), Final test and project (40%), and homework assignments
(30%).
Computing:
Data analysis is an integral part of the course.
used, including SAS and S-plus.

Various packages will be

Financial Database:
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Datastream International
Statistical Resources on the Web (Stock Market)
Data on the Net

AREMOS
http://www.neatideas.com/index.htm (The Financial Forecast Center)