Jun 14, 2024  
2023-2024 Catalog 
2023-2024 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