Statistics Program

Course Description

Time Series

  • Course number : 221 M0330
  • Credits : 3 units
  • Required or Requisite : Requisite
  • Time : Spring
  • Prerequisites : Advanced Statistical Inference
  • Course Description :
    1. Introduce standard models, including ARIMA, Seasonal ARIMA, Transfer Function and Vector ARIMA models.
    2. Construction, diagnosis and application of the standard models.
    3. Introduction and application of ARCH model and GARCH model.
    4. Bayesian time series analysis.
  • Textbook :
    1. William W. S. Wei, "Time Series Analysis: Univariate and Multivariate Methods", Addison-Wesley. (1990)
    2. James D. Hamilton, "Time Series Analysis", Princeton University Press. (1994)
    3. George E. P. Box, Gwilym M. Jemkins and Gregory C. Reinsel, "Time Series Analysis: Forecasting and Control", Prentice-Hall. (1994)
    4. Wayne A. Fuller, "Introduction to Statistical Time Series", John Wiley & Sons. (1996)
    5. Walter Enders, "Applied Econometric Time Series", John Wiley & Sons. (1995) Second edition. Duxbury Press.
  • Reference :

Last updated: February 26, 2004

Address: Department of Mathematics, National Taiwan University, Taipei, Taiwan
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