copied from 09420STAT521000

一、課程說明(Course Description)


二、指定用書(Text Books)

1. Shumway and Stoffer (2006)
Time Series Analysis and its Applications with R Examples

2. Brockwell, Peter J. and Davis, Richard A. (1991)
Time Series: Theory and Methods, 2nd edition.

3. Tsay, Ruey S. (2002)
Analysis of Financial Time Series


1. Harvey, A.C. (1990)
Forecasting structure time series models and the Kalman filter.

2. Harvey, A.C. (1981)
Time series models.

3. Fuller, W.A. (1996)
Introduction to Statistical Time Series, 2nd edition.

四、教學方式(Teaching Method)



1. Stationary and non-stationary time series

2. Covariance and spectral properties of stationary process

3. Autoregressive moving average processes

4. Best linear prediction

5. Estimation techniques

6. Frequency domain analysis

7. Model selection and diagnostics

8. More complex models: state space models and the Kalman filter


1. homework 30%

2. midterm 40%

3. final project 30%