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Time Series and Forecasting: Course Outline

Time series forecasting is the use of a model to predict future values based on previously observed values.

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Course Outline

  • Definition of time series.
  • Stationary and non-stationary time series.
  • How model arise.
  • Meaning and estimation of ACF and PACF.
  • Linear stationary and non-stationary models.
  • Autoregressive form of ARMA model.
  • Model identification.
  • Minimum mean squares forecasts.
  • Forecasting using state space model and use of Kalman filter series model.
  • Estimation of models smoothing.
  • Reliability analysis of forecast error.
  • Transfer function.
  • Intervention analysis and Spectral analysis.

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