Time Series (STAT30010)
Credits 5 Subject Statistics & Actuarial Science
Level 3 School Mathematics and Statistics
Semester   Information Autumn Module Coordinator Dr Michael Salter-Townshend

This course provides an opportunity for students to learn some basic techniques in Time Series Analysis. A Time Series is a set of measurements taken at regular intervals over a period of time. Time series pervade the worlds of economics and finance e.g. equity prices, (CPI) inflation, GNP, GDP, derivative prices, oil prices, etc. Although the techniques of Time Series Analysis are used by many people, from meteorologists to astronomers, this course will mainly focus on examples in the world of economics and finance. This course will show how to model such data and how using those models forecasts and predictions can be made.Time series analysis is not a new subject, however there have been many advances in recent years and the 2003 Nobel prize in Economics was awarded to Engle and Granger for their work in time-series econometrics. This course will cover both traditional methods and more modern approaches to Time Series Analysis. Upon completion of this course students should have mastered techniques that are extremely valuable for careers in the analysis of economic and financial data. Topics covered include, among others: Stationarity, ARIMA models, Parameter Estimation, Forecasting and Cointegration. Additional topics may be included which may vary from year to year.

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Curricular information is subject to change