課程資訊
課程名稱
時間序列分析
Time Series Analysis 
開課學期
104-2 
授課對象
共同教育中心  統計碩士學位學程  
授課教師
銀慶剛 
課號
ECON5007 
課程識別碼
323 U0600 
班次
 
學分
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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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
 
Office Hours
 
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. 
指定閱讀
待補 
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!! 
 
課程進度
週次
日期
單元主題
第1週
  Time Series Regression and Exploratory Data Analysis  
第2週
  Stationary Time Series, Regression Analysis, Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF) I  
第3週
  ACF and PACF II  
第4週
  Autoregressive Models: Modelling and Estimation I (Consistency) 
第5週
  Midterm Examination I; 
第6週
  Autoregressive Models: Modelling and Estimation II (CLT) 
第7週
  Prediction and Model Selection  
第8週
  An Introduction to Nonlinear Least Squares Estimates 
第9週
  ARMA Model: Modelling, Estimation and Prediction  
第10週
  Midterm Examination II 
第11週
  Nonstationary Time Series I 
第12週
  Nonstationary Time Series II 
第13週
  Regression Models with Time Series Error I
 
第14週
  Regression Models with Time Series Error II  
第15週
  An Introduction to the Dataset for Final Reports 
第16週
  National Holiday 
第17週
  Final Examination 
第18週
  An Introduction to High-Dimensional Time Series