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課程名稱 |
時間序列分析
Time Series Analysis |
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開課學期 |
105-2 |
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授課對象 |
共同教育中心 統計碩士學位學程 |
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授課教師 |
銀慶剛 |
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課號 |
ECON5007 |
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課程識別碼 |
323 U0600 |
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班次 |
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學分 |
3.0 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期五6,7,8(13:20~16:20) |
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上課地點 |
社科406 |
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備註 |
本課程為學程必選課程之一(Ｃ群組)，必選課程至少選修4學分。
限學士班三年級以上 或 限碩士班以上
總人數上限：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1052ECON5007_ |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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課程概述 |
This course attempts to give a systematic account of several important time series models and their applications to the modelling and prediction of data obtained sequentially in time. Topics to be covered include: time series regression and exploratory data analysis, a brief review of linear models, autoregressive moving average models, estimation and prediction in the time domain, nonstationary time series analysis, and regression models with time series error. The lecture will be given in Mandarin. |
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課程目標 |
The aim of this course is to provide specific techniques for handling data and at the same time to provide a thorough understanding of the theoretical basis for the techniques. Since this is a master's-/undergraduate-level course, we will make our mathematical treatments as comprehensive/simple as possible. |
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課程要求 |
待補 |
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
待補 |
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參考書目 |
1. William WS Wei (2006). Time Series Analysis : Univariate and Multivariate
Methods (2nd Edition), Addison Wesley.
2. P. J. Brockwell and R. A. Davis (1987). Time Series: Theory and Methods,
Springer-Verlag.
3. R. H. Shumway and D. S. Stoffer (2006). Time Series Analysis and Its
Applications, Springer.
4. W. A. Fuller (1996). Introduction to statistical Time Series, Wiley.
5. J. D. Hamilton (1994). Time Series Analysis, Princeton.
6. C.-K. Ing's lecture notes in mathematical statistics. |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Midterm Examination I |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
2. |
Midterm Examination II |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
3. |
Final Project |
20% |
Time series datasets will be provided on May 26. Your report must be handed in by June 30. |
4. |
Final Examination |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
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