Not available in 2014/15
ST418 Half Unit
Non-Linear Dynamics and the Analysis of Real Time Series
This information is for the 2014/15 session.
Teacher responsible
Prof Leonard Smith TW1 11.01A
Availability
This course is available on the MSc in Applicable Mathematics, MSc in Econometrics and Mathematical Economics, MSc in Statistics, MSc in Statistics (Financial Statistics), MSc in Statistics (Financial Statistics) (Research) and MSc in Statistics (Research). This course is available with permission as an outside option to students on other programmes where regulations permit.
Pre-requisites
Students must have completed Time Series (ST422).
Course content
An introduction to the analysis of actual time series observations of real-world processes. The course casts both modern nonlinear methods and more traditional linear methods in a geometric approach. It introduces the properties of nonlinear mathematical models, covers chaos and the dynamics of uncertainty, and demonstrates the fundamental limitations in applied analysis which arise from model inadequacy. Fundamental aspects of predictability are addressed. Decision support under uncertainty is considered, with examples of economic impacts of forecasting, including weather and climate. The student will leave with a toolkit for the analysis and modelling of real data, with insights into how to evaluate which methods to employ (linear/non-linear, deterministic/stochastic) in a given problem, how to interpret the results in context, and how to avoid over interpreting nice theorems in practical circumstances. Concrete applications in economics (price time series, electricity demand, energy futures) and environment (weather, climate) as well as analytically tractable illustration from mathematics are considered.
Teaching
20 hours of lectures and 10 hours of computer workshops in the LT. 2 hours of lectures in the ST.
Indicative reading
K Beven, Environmental Modelling: An uncertain Future? Routledge (2009); H Kantz & T Schreiber, Non-linear Time Series Analysis; E Ott, T Sauer & J A Yorke (Eds), Coping with Chaos: Analysis of Chaotic Data and The Exploitation of Chaotic Systems; E Ott, Chaos in Dynamical Systems; R Tsay, Analysis of Financial Time Series; L.A. Smith, Chaos: A Very Short Introduction. Oxford University Press (2007)
Assessment
Exam (70%, duration: 2 hours) in the main exam period.
Project (30%) in the ST.
Key facts
Department: Statistics
Total students 2013/14: 10
Average class size 2013/14: Unavailable
Controlled access 2013/14: No
Lecture capture used 2013/14: No
Value: Half Unit
Personal development skills
- Problem solving
- Communication
- Application of numeracy skills
- Specialist skills