MA30085: Time series
[Page last updated: 23 October 2023]
| Academic Year: | 2023/24 |
| Owning Department/School: | Department of Mathematical Sciences |
| Credits: | 6 [equivalent to 12 CATS credits] |
| Notional Study Hours: | 120 |
| Level: | Honours (FHEQ level 6) |
| Period: |
- Semester 2
|
| Assessment Summary: | CW 25%, EX 75% |
| Assessment Detail: |
- Coursework (CW 25%)
- Ma30085 Examination (EX 75%)
|
| Supplementary Assessment: |
- Like-for-like reassessment (where allowed by programme regulations)
|
| Requisites: |
Before taking this module you must take MA20227
|
| 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.
|
| 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.
|
| 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.
|
| Course availability: |
MA30085 is Optional on the following courses:
Department of Economics
- UHES-AFB04 : BSc(Hons) Economics and Mathematics (Year 3)
- UHES-AAB04 : BSc(Hons) Economics and Mathematics with Study year abroad (Year 4)
- UHES-AKB04 : BSc(Hons) Economics and Mathematics with Year long work placement (Year 4)
- UHES-ACB04 : BSc(Hons) Economics and Mathematics with Combined Placement and Study Abroad (Year 4)
Department of Mathematical Sciences
- USMA-AFB15 : BSc(Hons) Mathematical Sciences (Year 3)
- USMA-AAB16 : BSc(Hons) Mathematical Sciences with Study year abroad (Year 4)
- USMA-AKB16 : BSc(Hons) Mathematical Sciences with Year long work placement (Year 4)
- USMA-AFB13 : BSc(Hons) Mathematics (Year 3)
- USMA-AAB14 : BSc(Hons) Mathematics with Study year abroad (Year 4)
- USMA-AKB14 : BSc(Hons) Mathematics with Year long work placement (Year 4)
- USMA-AFB01 : BSc(Hons) Mathematics and Statistics (Year 3)
- USMA-AAB02 : BSc(Hons) Mathematics and Statistics with Study year abroad (Year 4)
- USMA-AKB02 : BSc(Hons) Mathematics and Statistics with Year long work placement (Year 4)
- USMA-AFB20 : BSc(Hons) Mathematics, Statistics, and Data Science (Year 3)
- USMA-AAB06 : BSc(Hons) Statistics with Study year abroad (Year 4)
- USMA-AKB06 : BSc(Hons) Statistics with Year long work placement (Year 4)
- USMA-AFM14 : MMath(Hons) Mathematics (Year 3)
- USMA-AFM14 : MMath(Hons) Mathematics (Year 4)
- USMA-AAM15 : MMath(Hons) Mathematics with Study year abroad (Year 4)
- USMA-AKM15 : MMath(Hons) Mathematics with Year long work placement (Year 4)
- USMA-AKM15 : MMath(Hons) Mathematics with Year long work placement (Year 5)
|
Notes: - This unit catalogue is applicable for the 2023/24 academic year only. Students continuing their studies into 2024/25 and beyond should not assume that this unit will be available in future years in the format displayed here for 2023/24.
- Courses and units are subject to change 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.
- Find out more about these and other important University terms and conditions here.
|
