Teaching plan for the course unit

 General information

Course unit name: Time Series Analysis

Course unit code: 572676

Coordinator: Josep Vives Santa Eulalia

Department: Faculty of Mathematics and Computer Science

Credits: 3

Single program: S

 Estimated learning time Total number of hours 75

 Face-to-face and/or online activities 30
 -  Lecture Face-to-face 15 (face to face and remote) -  Lecture with practical component Face-to-face 15 (face to face and remote)
 Independent learning 45

 Recommendations

 Basic knowlege of Probability Theory and Statistics

 Competences to be gained during study

 CE1: To understand the importance of data in decision making. CE5: To be able to propose models to describe time series using exploratory data analysis. CE6: To be able to use analytical tools for time series prediction  CE8: To be able to verify hypothesis from time series data.

 Learning objectives
 Referring to knowledge To study since a theoretical and a practical point of view, the current most used models to analyze data time series

 Teaching blocks

No..

Title

1

 Basic notions of Time Series Theory

2

 ARMA Models

3

 ARIMA and SARIMA Models

4

 GARCH Models

5

 ARFIMA Models

6

 Intervention Analysis

7

 State Space Models

8

 Multivariate Time Series and Cointegration

 Teaching methods and general organization

 In case of  blended teaching a written lecture will be uploaded to the virtual campus and commented in a remote session weakly and a doubt and exercise-solving lecture with computers will be done face-to face.weakly. In case of complete remote teaching caused by sanitary conditions all the teaching will be remote.  In case of normality, the teaching activity will be of two hours per week, one of theory and another of exercise-solving by computer.

 Official assessment of learning outcomes

 Deliverance of several sets of theoretical an practical exercices done at home during the course (40%). Written and oral presentation of a final work (60%). According to the sanitary situation the oral presentation of the final work will be face-to-face or remote.   Examination-based assessment Deliverance of several sets of theoretical an practical exercices done at home (40%). Written and oral presentation of a final work (60%). According to the sanitary situation the oral presentation of the final work will be face-to-face or remote.

Book

Brockwell, P. J. ; Davis, R. A. Introduction to time series and forecasting. New York : Springer : 1996.

Shumway, R. H. ; Stoffer, D.S. Time Series Analysis and its Applications with R Examples. New York (N.Y.) [etc.] : Springer : 2006.

Brockwell P. J. ; Davis, R. A. Time Series: Theory and Methods. New York: Springer, 1991.

Cowperwait, P. S. P. ; Metcalfe, A. V. Introductory Time Series with R. New York: Springer, 2009.