STCS 44013

>< Type/ Status : Core for students offering the special degree in Statistics and Computer Science.
>< Title : Time Series Analysis
>< Objectives : At the end of this unit the student will be able to analyse time series data, fit suitable models to the data, and use forecasting techniques to predict future values of the model under consideration.
>< Course Content :

An introduction to Time Series, Stationary time series, Components of a Time Series, Forecasting methods (simple smoothing averages, exponential smoothing, Halt-Winters smoothing), Auto-Covariance function, Auto Correlation function, Models of time series (auto regressive, moving average, ARMA, and ARIMA), Tentative identification of a suitable model for a given set of observations, Estimation of model parameters, Model checking and forecasting.

>< Methodology : A combination of lectures and tutorials.
>< Scheme of Evaluation : End of course examination and assignments.
>< Recommended Reading :
1. Brockwell and Davis, Time Series- Method and Forecasting, (1991, 2nd Edition), Springer.
2. Box and Jenkins, Time Series Analysis, (1976) John Willy.
3. DeLurgio, S.A., Forecasting Principles and Applications, (1998), McGraw Hill.
4. Chatfield, C., Analysis of Time Series, (1980, 2nd Edition), Chapman-Hall.

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