一、課程說明(Course Description)
<br>
<br>     探討分析時間序列資料的統計模式與推論方法。
<br>
<br>
<br>
<br> 二、指定用書(Text Books)
<br>
<br> 
<br>     1. Shumway and Stoffer 
<br>         Time Series Analysis and its Applications with R Examples 
<br>         (2006) 2nd edition
<br>         (2011) 3rd edition
<br>         
<br>     2. Tsay, Ruey S. (2012)
<br>        An Introduction to Analysis of Financial Data with R
<br>
<br>     3. Tsay, Ruey S. (2002)
<br>        Analysis of Financial Time Series
<br>
<br>
<br> 三、參考書籍(References)
<br>
<br>     Brockwell, Peter J. and Davis, Richard A. (1991)
<br>        Time Series: Theory and Methods, 2nd edition.
<br>
<br> 四、教學方式(Teaching Method)
<br>
<br>     口述
<br>
<br>
<br> 五、教學進度(Syllabus)
<br>
<br>     1. Stationary and non-stationary time series
<br>
<br>     2. Covariance and spectral properties of stationary process
<br>     
<br>     3. Autoregressive moving average processes
<br>
<br>     4. Best linear prediction
<br>
<br>     5. Estimation techniques
<br>  
<br>     6. Frequency domain analysis
<br>
<br>     7. Model selection and diagnostics 
<br>
<br>     8. State space models and the Kalman filter
<br>
<br> 
<br>
<br> 六、成績考核(Evaluation)
<br>
<br>     1. homework 80%
<br>
<br>     2. class participation 20%
<br>     
<br>
<br>
<br>
<br>
<br>
<br>