課程名稱 |
時間序列分析 Time Series Analysis |
開課學期 |
102-2 |
授課對象 |
社會科學院 經濟學系 |
授課教師 |
銀慶剛 |
課號 |
ECON5007 |
課程識別碼 |
323 U0600 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期二5,6,7(12:20~15:10) |
上課地點 |
社科2 |
備註 |
限學士班三年級以上 或 限碩士班以上 總人數上限:50人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1022ECON5007_ |
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 |
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, autoregressive moving average models, estimation and prediction in the time domain, spectral analysis, nonstationary time series analysis, and regression models with time series error. |
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. |
課程要求 |
待補 |
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 |
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. E. L. Lehmann (1983). Theory of Point Estimation, Springer. |
評量方式 (僅供參考) |
No. |
項目 |
百分比 |
說明 |
1. |
Midterm Examination |
35% |
This is an in-class open-book test. There is "No" make-up examination!! |
2. |
Final Examination |
35% |
This is a take-home test. |
3. |
Homework Assignments |
30% |
There are about 6 homework assignments. Each assignment contains 5-8 questions. |
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週次 |
日期 |
單元主題 |
第1週 |
2/18 |
Introduction |
第2週 |
2/25 |
Time Series Regression and Exploratory Data Analysis |
第3週 |
3/04 |
Stationary Time Series, ACF and PACF |
第4週 |
3/11 |
Sample ACF and PACF I |
第5週 |
3/18 |
Sample ACF and PACF II |
第6週 |
3/25 |
Autoregressive Models: Modelling and Estimation I |
第7週 |
4/01 |
Autoregressive Models: Modelling and Estimation II |
第8週 |
4/08 |
Prediction and Model Selection I |
第9週 |
4/15 |
Midterm Examination |
第10週 |
4/22 |
Prediction and Model Selection II |
第11週 |
4/29 |
Nonstationary Time Series I |
第12週 |
5/06 |
Nonstationary Time Series II |
第13週 |
5/13 |
Asymptotic Theory for Maximum Likelihood Estimates and Nonlinear Least Squares Estimates I |
第14週 |
5/20 |
Asymptotic Theory for Maximum Likelihood Estimates and Nonlinear Least Squares Estimates II |
第15週 |
5/27 |
ARMA Model: Modelling, Estimation and Prediction |
第16週 |
6/03 |
Regression Models with Time Series Error I |
第17週 |
6/10 |
Regression Models with Time Series Error II |
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