SSH4113 TIME SERIES

Topic outline

• General
  

  General

  Lecturer : Ani Shabri Semester : Semester II 2013/2014

  Synopsis : The course is designed to provide students to learn time series modelling in theory and practice with emphasis on practical aspects of time series analysis. Methods are hierarchically introduced-starting with terminology and exploratory graphics, progressing to descriptive statistics, and ending with basic modelling procedures. The time series modelling will start with reviewing the fundamental concepts in regression, exponential smoothing and general class of Box Jenkins models.

  This work, SSH4113 Time Series by Ani Shabri is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 3.0 Unported License
• Topic 1
  

  Topic 1

  Introduction to Forecasting

  The nature and uses of forecasts, some examples of time series and resources for forecasting. Introduction, graphical displays, use data transformations for trend time series.

  • Chapter 1 Time Series File
  • Chapter 1 Time Series File
• Topic 2
  

  Topic 2

  Trend Models

  Introduction, least square estimation, statistical inference in linear trend and non-linear trend models. 

  • Chapter 2 Regression Analysis File
  • Chapter 2 Regression Analysis File
• Topic 3
  

  Topic 3

  Model Adequacy Checking

  Interpretation of the model, discussion about adequecy checking  of trend models. 

  • Chapter 3 Model Checking File
  • Chapter 3 Model Checking File
• Topic 4
  

  Topic 4

  Smoothing Models

  Introduction, simple exponential smoothing, double exponential smoothing and seasonal exponential smoothing.

  • Chapter 4 Exponential Smoothing File
  • Chapter 4 Exponential Smoothing File
• Topic 5
  

  Topic 5

  ARIMA models

  Introduction, autoregressive model, moving average model and autoregressive integrated moving average models

  • Chapter 5 ARIMA Model File
  • Chapter 5 ARIMA Model File
• Topic 6
  

  Topic 6

  Identification of ARIMA Model

  Introduction,stationary, identify the ARIMA models and diagnostic checking for ARIMA models

  • Chapter 6 Identification ARIMA Model File
  • Chapter 6 Identification ARIMA Model File
• Topic 7
  

  Topic 7

  Seasonal of ARIMA models
  

  Introduction, model identification and diagnostic checking.

  • Chapter 7 SARIMA models File
  • Chapter 7 SARIMA models File