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732A34 Time Series Analysis

Course information


General information

Time series analysis is the field of statistics where we study data that in one or the other way may change with time. Striking examples are different kind of economic and business data (sales and income figures, consumer price indices, interest rates, unemployment figures, stock market indices etc.) Most of the data collected at supplies departments at different companies are time series data. The application is however not limited to this sector. A lot of temporal data are collected in the production lines within industries, where the time scales can be of completely different orders (milliseconds instead of months). Another very important field is natural science and in particular environmental information. Weather data of different kinds are nowadays of partcular interest with respect to ongoing debates about the climate.

Time Series Analysis, 6 credits is a profile course within the Master's program in Statistics and Data Mining.

The aim, contents and teaching of the course can be read in the syllabus (under the link to the left).

The organisation of the course during 2015 is in the form of lectures, seminars and computer labs. The lectures will give a parallel presentation of the material in the course book and demonstrations of methods for time series analysis in R. The seminars will focus on solving exercises in the book both by hand and in R. You should benefit on bringing a laptop to the meetings, but it is not necessary and by all means possible to share a laptop with someone else during the sessions. Many exercises are of that kind that a computer must be used. In the course we will use R as software (partly because the course book is focused on R).

Computer labs

The course contains three assignments in the form of computer labs that should be carried out in groups of 2. As the labs are part of the course examination they must be solved by each group individually. There are 2 hours scheduled for each computer lab for questions, but they are expected to require more time than that. No other statistical software than R will be needed. The computer labs should be submitted in forms of written reports. The reports should clearly state how the different problems have been solved, together with appropriate tables and graphs. In the marking of these reports, emphasis will be put on the English language. It will not be sufficient to simply give short answers to the detailed questions of the exercises. It is also important that both members in the groups have been equally active in the work and that they both can explain the contents of the report.

Exam

There is a written exam at the end of the course.


Course literature

Cryer J.D., Chan K-S. (2008) Time Series Analysis - With Applications in R 2nd ed. Springer. (ISBN 978-0-387-75958-6)

Course responsible

Per Sidén, e-mail: per.siden@liu.se

Office: Building B, Entrance 27, upstairs, room 3E:483

Course examiner

Ann-Charlotte Hallberg, e-mail: Ann-Charlotte.Hallberg@liu.se


Page responsible: Per Sidén
Last updated: 2015-06-22