- Student Records
Programme & Unit Catalogues


MA30085: Time series

Follow this link for further information on academic years Academic Year: 2012/3
Follow this link for further information on owning departmentsOwning Department/School: Department of Mathematical Sciences
Follow this link for further information on credits Credits: 6
Follow this link for further information on unit levels Level: Honours (FHEQ level 6)
Follow this link for further information on period slots Period: Semester 2
Follow this link for further information on unit assessment Assessment: EX 75%, CW 25%
Follow this link for further information on supplementary assessment Supplementary Assessment: MA30085 Mandatory Extra Work (where allowed by programme regulations)
Follow this link for further information on unit rules Requisites: Before taking this unit you must take MA20227
Follow this link for further information on unit content Description: Aims:
To introduce a variety of statistical models for time series, cover the main methods for analysis and give practical experience in fitting such models.

Learning Outcomes:
At the end of the course, the student should be able to
* Compute and interpret a correlogram and a sample spectrum;
* derive the properties of ARIMA and state-space models;
* choose an appropriate ARIMA model for a given set of data and fit the model using R;
* compute forecasts for a variety of linear methods and models.

Skills:
Numeracy T/F A
Problem Solving T/F A
Written and Spoken Communication F

Content:
Introduction: Examples, simple descriptive techniques, trend, seasonality, the correlogram.
Probability models for time series: Stationarity; moving average (MA), autoregressive (AR), ARMA and ARIMA models.
Estimating the autocorrelation function and fitting ARIMA models.
Forecasting: Exponential smoothing, Forecasting from ARIMA models.
Stationary processes in the frequency domain: The spectral density function, the periodogram, spectral analysis.
State-space models: Dynamic linear models and the Kalman filter.
Follow this link for further information on programme availabilityProgramme availability:

MA30085 is Optional on the following programmes:

Programmes in Natural Sciences
  • UXXX-AFB01 : BSc (hons) Natural Sciences (Full-time) - Year 3
  • UXXX-AKB02 : BSc (hons) Natural Sciences with Industrial Placement (Full-time with Thick Sandwich Placement) - Year 4
  • UXXX-AAB02 : BSc (hons) Natural Sciences with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
Department of Mathematical Sciences
  • USMA-AFB15 : BSc (hons) Mathematical Sciences (Full-time) - Year 3
  • USMA-AKB16 : BSc (hons) Mathematical Sciences (Full-time with Thick Sandwich Placement) - Year 4
  • USMA-AAB16 : BSc (hons) Mathematical Sciences with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
  • USMA-AFB13 : BSc (hons) Mathematics (Full-time) - Year 3
  • USMA-AKB14 : BSc (hons) Mathematics (Full-time with Thick Sandwich Placement) - Year 4
  • USMA-AFB01 : BSc (hons) Mathematics and Statistics (Full-time) - Year 3
  • USMA-AKB02 : BSc (hons) Mathematics and Statistics (Full-time with Thick Sandwich Placement) - Year 4
  • USMA-AAB02 : BSc (hons) Mathematics and Statistics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
  • USMA-AAB14 : BSc (hons) Mathematics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
  • USMA-AFB05 : BSc (hons) Statistics (Full-time) - Year 3
  • USMA-AKB06 : BSc (hons) Statistics (Full-time with Thick Sandwich Placement) - Year 4
  • USMA-AAB06 : BSc (hons) Statistics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
  • USMA-AFM14 : MMath Mathematics (Full-time) - Year 3
  • USMA-AFM14 : MMath Mathematics (Full-time) - Year 4
  • USMA-AAM15 : MMath Mathematics with Study Year Abroad (Full-time with Study Year Abroad) - Year 4
  • TSMA-AFM09 : MSc Mathematical Sciences (Full-time) - Year 1
  • TSMA-APM09 : MSc Mathematical Sciences (Part-time) - Year 1
  • TSMA-APM09 : MSc Mathematical Sciences (Part-time) - Year 2
  • TSMA-AFM08 : MSc Modern Applications of Mathematics (Full-time) - Year 1
  • TSMA-AFL02 : PG Dip Modern Applications of Mathematics (Full-time) - Year 1

Notes:
* This unit catalogue is applicable for the 2012/13 academic year only. Students continuing their studies into 2013/14 and beyond should not assume that this unit will be available in future years in the format displayed here for 2012/13.
* Programmes and units are subject to change at any time, in accordance with normal University procedures.
* Availability of units will be subject to constraints such as staff availability, minimum and maximum group sizes, and timetabling factors as well as a student's ability to meet any pre-requisite rules.