Time series
MATH-342
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MATH 342 - Time Series
Welcome to the webpage of the Time Series course!
Lecturer: Prof. Sofia Olhede
Teaching assistants: Charles Dufour and Jake Grainger
Content:
- Motivation; basic ideas; stochastic processes; stationarity; trend and seasonality.
- Autocorrelation and related functions.
- Stationary linear processes: theory and applications.
- ARIMA, SARIMA models and their use in modelling.
- Prediction of stationary processes.
- Spectral representation of a stationary process: theory and applications.
- Other topics as time permits.
Schedule:
- Class: Wednesday, 14:15-16:00 in CM 5
- Exercises: Thursday, 16:15-18:00 in CE 1 105