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| MATH0221-1 | Analysis of time series | |||||
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| Duration : | 30h Th, 10h Pr | |||||
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| Holder(s) : | Paul Gérard | |||||
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| Course contents : | 1. Modelisation using regression methods: decomposition into trend, seasonal component and perturbation. Detecting outlyers, forcasting. 2. Moving averages: properties and construction. Usual moving averages: arithmetic, Henderdon, Spencer,... 3. Exponential smoothing, Brown's methods, Holt&Winters methods. 4.Theory of stationary processes: stationarity, autocorrelation, partial autocorrelation, spectral analysis, ARMA, ARIMA and SARIMA processes. | |||||
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| Course objective : | Learning to analyse a time series using exploratory and modelling methods. Estimating its trend and seasonal components. Building and fitting ARIMA models. Making prediction. Estimating and using the power spectrum. | |||||
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| Prerequisites : | A course on statistical inference and linear models. For example: math0210-1 and math 213-1 | |||||
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| Workshops : | Analysis time series with the methods presented during the course. Introduction to the use of a statistical software on time series (Statistica). | |||||
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| Organization : | Lectures and homeworks. Practical examples are treated during the lectures. | |||||
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| Written notes : | Handout based on transparencies. Suggested reading: 1.Séries temporelles et modèles dynamiques. Christian Gourieroux et Alain Monfort. Economica, Collection " Economie et statistiques avancées ". 2.Time series : a biostatistical introduction. P.J.Diggle. Oxford statistical science series. Oxford University Press. 3.Practical time series. Gareth Janack. Arnold. | |||||
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| Assessment : | Oral evaluation and homeworks | |||||
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| Contacts : | Paul GERARD, Institut de Mathématique, Bât.B37, Grande Traverse 12, 4000-Liège (Sart Tilman),Tel. 00-32-(0)4366.93.84, Fax : 00-32-(0)4366.95.47, e-mail : paul.gerard@ulg.ac.be Laetitia Comté, Institut de Mathématique, Bât.B37, Grande Traverse 12, 4000-Liège (Sart Tilman),Tel. 00-32-(0)4366.94.60, Fax : 00-32-(0)4366.95.47, e-mail : l.comte@ulg.ac.be | |||||
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ULg : Students and Studies Administration - Academic Affairs
Contact : Monique Marcourt, direction A.E.E.
Date of data : 27/02/2006
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