課程名稱 |
時間序列分析 Time Series Analysis |
開課學期 |
104-2 |
授課對象 |
社會科學院 經濟學研究所 |
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 |
星期四2,3,4(9:10~12:10) |
上課地點 |
社科406 |
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/1042ECON5007_ |
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, 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. |
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. C.-K. Ing's lecture notes in mathematical statistics. |
評量方式 (僅供參考) |
No. |
項目 |
百分比 |
說明 |
1. |
Final Project |
20% |
A time series dataset will be provided for analysis in early June. Your reports must be handed in by June 30, 2016. |
2. |
Final Examination |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
3. |
Midterm Examination II |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
4. |
Midterm Examination I |
30% |
This is a 3-hour in-class open-book test. There is "No" make-up examination!! |
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週次 |
日期 |
單元主題 |
第1週 |
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Time Series Regression and Exploratory Data Analysis |
第2週 |
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Stationary Time Series, Regression Analysis, Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF) I |
第3週 |
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ACF and PACF II |
第4週 |
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Autoregressive Models: Modelling and Estimation I (Consistency) |
第5週 |
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Midterm Examination I; |
第6週 |
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Autoregressive Models: Modelling and Estimation II (CLT) |
第7週 |
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Prediction and Model Selection |
第8週 |
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An Introduction to Nonlinear Least Squares Estimates |
第9週 |
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ARMA Model: Modelling, Estimation and Prediction |
第10週 |
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Midterm Examination II |
第11週 |
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Nonstationary Time Series I |
第12週 |
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Nonstationary Time Series II |
第13週 |
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Regression Models with Time Series Error I
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第14週 |
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Regression Models with Time Series Error II |
第15週 |
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An Introduction to the Dataset for Final Reports |
第16週 |
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National Holiday |
第17週 |
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Final Examination |
第18週 |
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An Introduction to High-Dimensional Time Series |
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