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732G06 Time Series Analysis
Course information
LINKÖPINGS
UNIVERSITET 732G06 TIME SERIES ANALYSIS
Institutionen för datavetenskap Fall semester 2008
Statistik/And
COURSE INFORMATION.
Welcome to the course in
Time Series Analysis
Formal information about course
contents can be read in the course curriculum. We will just briefly present
some of the contents further below.
About Time Series
Analysis
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 such as sales figures, income figures and
unemployment figures. Most of the data collected at supplies departments at
different companies are time series data. The application is however not
limited to this sector. E.g. another very important field is natural science
and in particular environmental information. At the division of Statistics at
We will in
this course get familiar with different basic methods of time series analysis.
The focus will mainly be on learning how to apply the methods and interpret the
results that come out of them. More theoretical aspects of time series analysis
are given in the course Time Series Analysis, advanced course.
Organisation of the
course
The course will be organised briefly as follows:
Each week we will have a meeting (a mix of
lecture, tutorial and discussion seminar) in which we will present and discuss
the core of that week’s stuff and the learning from previous weeks.. You should
prepare this meeting by reading the corresponding parts in the textbook. The
rest of the week you mostly work on your own with exercises that most often
must be done on a computer. Solutions to some of the exercises should be
submitted successively and they are part of the examination in the course (see
further below). You are encouraged to co-operate with each other doing
exercises, but each one of you must submit his (or her) own solution to every
exercise. During the last weeks of the course you will be given a larger
exercise (project work) that should be done in smaller groups (2 or 3 persons).
A brief working plan can be found as a link on the course web page. There is also a link “Updated information” where you successively may find useful information (changes in schedule etc.) or linked documents to be used. Check this link now and then during the course.
Schedule
The course starts on
Wednesday 27 of August at 13.15 in room John von Neumann located in building B, entrance
27, 2nd floor, corridor D (uppstairs from Cafe Java). The rest of the
course will be scheduled in co-operation with you as it is difficult to
overview the schedules of all the other courses you will attain. As far as
possible we will try to have the weekly meetings on Thursdays and Fridays. You will have
access to the computer rooms PC1-PC5 (located in building E,
entrance floor), but there are other courses scheduled there and I will
provide you with information about available time-points.
Examination
The course
will be examined by solutions of the given exercises and by a final oral exam
with questions around the different parts. The grades in the course are Failed,
Passed and Passed with Distinction translated to ECTS-grades for exchange
students. To receive the
Course contents
Classical
descriptive time series analysis with methods for decomposition. Forecasting
with exponential smoothing and Box--Jenkins ARIMA--models. Practical examples
from mainly economics and business administration. Use of standard statistical
computer packages for time series analysis.
Literature
Bowerman,
B.L, O'Connell, R.T. and Koehler, A.B.: Forecasting and times series-an
applied approach. 4rd ed. Thomson
Brooks/Cole, 2005. (ISBN 0-534-40977-6)
Complementary
handouts
Teachers
Course
leader and tutor:
Anders
Nordgaard, tel. 013-281974, e-mail:
You will
meet me in my office (Building B, Entrance 27, uppstairs, corridor E, Thursday-Friday)
Page responsible: Anders Nordgaard
Last updated: 2008-06-27
