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Programme & Unit Catalogues

## MA50085: Time series

Owning Department/School: Department of Mathematical Sciences
Credits: 6
Level: Masters UG & PG (FHEQ level 7)
Period: Semester 2
Assessment: CW 25%, EX 75%
Supplementary Assessment: MA50085 Mandatory extra work (where allowed by programme regulations)
Requisites:
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.
* demonstrate critical thinking and a deep understanding of some aspects of time series theory and application.

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

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.
Programme availability:

#### MA50085 is Optional on the following programmes:

Department of Mathematical Sciences
• TSMA-AFM09 : MSc Mathematical Sciences (Full-time)
• TSMA-APM09 : MSc Mathematical Sciences (Part-time)
• TSMA-AFM08 : MSc Modern Applications of Mathematics (Full-time)
• TSMA-AWM14 : MSc Modern Applications of Mathematics (Full-time incorporating placement)
• TSMA-AFL02 : PG Dip Modern Applications of Mathematics (Full-time)

Notes:
* This unit catalogue is applicable for the 2013/4 academic year only. Students continuing their studies into 2014/15 and beyond should not assume that this unit will be available in future years in the format displayed here for 2013/14.
* 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.