探討分析時間序列資料的統計模式與推論方法。

二、指定用書(Text Books)

1. Shumway and Stoffer

Time Series Analysis and its Applications with R Examples

(2006) 2nd edition

(2011) 3rd edition

2. Tsay, Ruey S. (2012)

An Introduction to Analysis of Financial Data with R

3. Tsay, Ruey S. (2002)

Analysis of Financial Time Series

三、參考書籍(References)

1. Harvey, A.C. (1990)

Forecasting structure time series models and the Kalman filter.

2. Brockwell, Peter J. and Davis, Richard A. (1991)

Time Series: Theory and Methods, 2nd edition.

四、教學方式(Teaching Method)

口述

五、教學進度(Syllabus)

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. State space models and the Kalman filter

六、成績考核(Evaluation)

1. homework 30%

2. class participation 10%

3. midterm 30%

4. final project 30%