Jun 25, 2022  
2021-2022 Catalog 
    
2021-2022 Catalog

MATH155 HM - Time Series


Credit(s): 3

Instructor(s): Williams

Offered: Spring, alternate years

Description: An introduction to the theory of statistical time series. Topics include decomposi­tion of time series, seasonal models, forecasting models including causal models, trend models, and smoothing models, autoregressive (AR), moving average (MA), and integrated (ARIMA) forecasting models. Time permitting, we will also discuss state space models, which include Markov processes and hidden Markov processes, and derive the famous Kalman filter, which is a recursive algorithm to compute predictions. Statistical software will be used as a tool to aid calculations required for many of the techniques.

Prerequisite(s): Permission of instructor