Time series and prediction
- Code: DT0104
- Unit Coordinator: Umberto Triacca
- ECTS Credits: 6
- Semester: 1
- Year: 2
- Campus: University of L'Aquila
- Language: English
- Aims:
Students will learn the foundations of time series and forecasting.
Students will gain the experience of building statistical models of time series, and models for forecasting, and will learn how to evaluate their performance.
These objectives are part of the educational purposes of the study program.
- Content:
- Stochastic processes (some basic concepts) Stationary stochastic processes
- Autocovariance and autocorrelation functions
- Ergodicity of a stationary stochastic process
- Estimation of moment functions of a stationary process ARIMA models
- Estimatiom of ARIMA models
- Building ARIMA models
- Forecasting from ARIMA models
- Pre-requisites:
Probability
Stastistical inference
- Reading list:
1. Time Series Analysis Univariate and Multivariate Methods, 2nd Edition,
W. Wei, 2006, Addison Wesley.
2. Time Series Analysis, J. Hamilton, 1994, Princeton University Press.
3. Time Series Analysis: Theory and Methods, P. Brockwell and R. Davis,
1991, Springer-Verlag.
4. Time Series Analysis and Its Applications with R Examples, Shumway, R.
and Stofer, D., 2006, Springer.
5. Introduction to Time Series and Forecasting. Second Edition, P. Brockwell
and R. Davis, 2002, Springer.
