Unit name | Time Series Analysis |
---|---|
Unit code | MATH33800 |
Credit points | 20 |
Level of study | H/6 |
Teaching block(s) |
Teaching Block 1 (weeks 1 - 12) |
Unit director | Professor. Nason |
Open unit status | Not open |
Pre-requisites |
MATH11300 Probability 1, MATH 11400 Statistics 1 and the first year core units (MATH11006 Analysis 1, MATH 11007 Calculus 1, MATH 11005 Linear Algebra & Geometry) |
Co-requisites |
None |
School/department | School of Mathematics |
Faculty | Faculty of Science |
Unit aims
This unit provides an introduction to time series analysis mainly from the statistical point of view but also covers some mathematical and signal processing ideas.
General Description of the Unit
Time series are observations on variables collected through time. For example two well-known time series are daily temperature readings and hourly stock prices. Time series data are widely collected in many fields: for example in the pure sciences, medicine, marketing, economics and finance to name but a few. Time series data are different to the usual statistical data in that the observations are ordered in time and usually correlated. The emphasis is on understanding, modelling and forecasting of time- series data in both the time, frequency and time-frequency domains.
Time series specialists are valued by a wide range of organisations who collect time series data (see list above). This course will equip you with a formidable collection of skills and knowledge that are highly valued by employers. Alternatively, the course would give you a good grounding if you wished to develop time series methods for a higher degree (e.g. PhD).
Relation to Other Units
As with units MATH 35110 (Linear Models) and MATH 30510 (Multivariate Analysis) this course is concerned with developing statistical methodology for a particular class of problems.
Additional unit information can be found at http://www.maths.bristol.ac.uk/study/undergrad/current_units/index.html
Learning Objectives
The students will be able to:
Transferable Skills
Use of R for advanced statistical time-series analyses. Enhanced mathematical modelling skills Problem solving
The teaching methods consist of
Three problem sheets will count towards both assessment and credit points. It will be made clear in the lectures and on the sheets which count for assessment and credit points. Other problem sheets will be set: they will be marked but it is not compulsory to hand these in (although it would obviously be to your benefit as you would receive feedback).
94% Examination and 6% Homework Assignments.
Raw scores on the examinations will be determined according to the marking scheme written on the examination paper. The marking scheme, indicating the maximum score per question, is a guide to the relative weighting of the questions. Raw scores are moderated as described in the Undergraduate Handbook.
Reading and references are available at http://www.maths.bristol.ac.uk/study/undergrad/current_units/index.html