ST304 Half Unit
Time Series and Forecasting
This information is for the 2014/15 session.
Teacher responsible
Dr Matteo Barigozzi COL.7.11
Availability
This course is compulsory on the BSc in Actuarial Science and BSc in Statistics with Finance. This course is available on the BSc in Business Mathematics and Statistics and BSc in Mathematics with Economics. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.
Pre-requisites
2nd year statistics and probability
Course content
The course introduces the student to the statistical analysis of time series data and simple models. What time series analysis can be useful for; autocorrelation; stationarity, basic time series models; AR, MA, ARMA; trend removal and seasonal adjustment; invertibility; spectral analysis; estimation; forecasting; introduction to financial time series and the ARCH model.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
Written answers to set problems will be expected on a weekly basis.
Indicative reading
C Chatfield, The Analysis of Time Series; Brockwell & Davis, Introduction to Time Series and Forecasting; Brockwell & Davis, Time Series: Theory and Methods.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Key facts
Department: Statistics
Total students 2013/14: 92
Average class size 2013/14: 92
Capped 2013/14: No
Lecture capture used 2013/14: No
Value: Half Unit
PDAM skills
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Commercial awareness
- Specialist skills
