copied from 09420STAT521000
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<br>一、課程說明(Course Description)
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<br>     探討分析時間序列資料的方法。
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<br> 二、指定用書(Text Books)
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<br>     1. Shumway and Stoffer (2006)
<br>        Time Series Analysis and its Applications with R Examples 
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<br>     2. Brockwell, Peter J. and Davis, Richard A. (1991)
<br>        Time Series: Theory and Methods, 2nd edition.
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<br>     3. Tsay, Ruey S. (2002)
<br>        Analysis of Financial Time Series
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<br> 三、參考書籍(References)
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<br>     1. Harvey, A.C.  (1990)
<br>        Forecasting structure time series models and the Kalman filter.
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<br>     2. Harvey, A.C.  (1981)
<br>        Time series models.
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<br>     3. Fuller, W.A. (1996)
<br>        Introduction to Statistical Time Series, 2nd edition. 
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<br> 四、教學方式(Teaching Method)
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<br>     口述
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<br> 五、教學進度(Syllabus)
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<br>     1. Stationary and non-stationary time series
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<br>     2. Covariance and spectral properties of stationary process
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<br>     3. Autoregressive moving average processes
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<br>     4. Best linear prediction
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<br>     5. Estimation techniques
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<br>     6. Frequency domain analysis
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<br>     7. Model selection and diagnostics 
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<br>     8. More complex models: state space models and the Kalman filter
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<br> 六、成績考核(Evaluation)
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<br>     1. homework 30%
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<br>     2. midterm 40%
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<br>     3. final project 30%
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<br> 七、可連結之網頁位址
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