MATH 743 (01) - Time Series Analysis

Time Series Analysis

Durham   Engineering&Physical Sciences :: Mathematics&Statistics
Credits: 4.0
Term: Spring 2023 - Full Term (01/24/2023 - 05/08/2023)
Grade Mode: Letter Grading
Class Size:   15  
CRN: 56256
An introduction to univariate time series models and associated methods of data analysis and inference in the time domain and frequency domain. Topics include: auto regressive (AR), moving average (MA), ARMA and ARIMA processes, stationary and non-stationary processes, seasonal ARIMA processes, auto-correlation and partial auto-correlation functions, identification of models, estimation of parameters, diagnostic checking of fitted models, forecasting, spectral density function, periodogram and discrete Fournier transform, linear filters, parametric spectral estimation, dynamic Fournier analysis. Additional topics may include wavelets and long memory processes (FARIMA) and GARCH Models. The use of statistical software, such as JMP, or R, is fully integrated into the course. Prereq: MATH 739. Offered in alternate years in the spring semester.
Registration Approval Required. Contact Instructor or Academic Department for permission then register through Webcat.
Classes not allowed in section: Freshman, Sophomore
Instructors: Linyuan Li

Times & Locations

Start Date End Date Days Time Location
1/24/2023 5/8/2023 MWF 9:40am - 11:00am KING S320