|
課程名稱 |
時序資料分析
Time Series Analytics |
|
開課學期 |
111-1 |
|
授課對象 |
共同教育中心 統計碩士學位學程 |
|
授課教師 |
藍俊宏 |
|
課號 |
IE5057 |
|
課程識別碼 |
546EU4050 |
|
班次 |
|
|
學分 |
3.0 |
|
全/半年 |
半年 |
|
必/選修 |
選修 |
|
上課時間 |
星期一2,3,4(9:10~12:10) |
|
上課地點 |
國青101 |
|
備註 |
本課程以英語授課。工程與環境統計領域選修課程之一。
總人數上限：24人 |
|
|
|
|
課程簡介影片 |
|
|
核心能力關聯 |
核心能力與課程規劃關聯圖 |
|
課程大綱
|
|
為確保您我的權利,請尊重智慧財產權及不得非法影印
|
|
課程概述 |
Time series and signals exist everywhere, and, in particular, data collection and analysis are much easier than before with the advancement of modern information technology. This course starts by modeling the standard time series, such as the demands and economic indicators. Digital signals, such as the machine sensor readings, ECG, and sound waves, are then analyzed with signal processing techniques. The goal is to develop a general sense of treating temporal signals. |
|
課程目標 |
Students from this course shall learn to:
1. comprehend the characteristics of different time series and signals;
2. understand the time series identification, estimation, and diagnostic;
3. understand the analytical techniques for digital signal processing;
4. apply proper treatments for analyzing time-series data. |
|
課程要求 |
Pre-requisites are probability & statistics, linear algebra, calculus, and programming skills.
Evaluation: Homework (25%), Mid-term (30%), Final-term (30%), Project (12%), Participation (3%)
Course details and communications are all on NTU COOL. |
|
預期每週課後學習時數 |
|
|
Office Hours |
|
|
指定閱讀 |
|
|
參考書目 |
Box, G. E. P., Jenkins, G. M., Reinsel, G. C., and Ljung, G. M. (2016). Time Series Analysis: Forecasting and Control.
Davis, M. H. A., and Vinter, R. B. (1985). Stochastic Modelling and Control.
Tsay, R. (2010). Analysis of Financial Time Series.
Smith, S. W. (1999). The Scientist and Engineer's Guide to Digital Signal Processing.
Lyons, R. G. (2010). Understanding Digital Signal Processing.
Mallat, S. (2008). A Wavelet Tour of Signal Processing. |
|
評量方式
(僅供參考) |
|
No. |
項目 |
百分比 |
說明 |
|
1. |
Homework |
25% |
|
2. |
Mid-term |
30% |
|
3. |
Final-term |
30% |
|
4. |
Report |
12% |
|
5. |
Participation/Typo Hunting |
3% |
|
|
|
週次 |
日期 |
單元主題 |
|
第1週 |
09/05 |
Review & Preview |
|
第2週 |
09/12 |
Exponential Smoothing Models |
|
第3週 |
09/19 |
Stationarity vs. Invertibility |
|
第4週 |
09/26 |
Univariate Stationary Time Series Models |
|
第5週 |
10/03 |
Univariate Stationary Time Series Models |
|
第6週 |
10/10 |
Univariate Stationary Time Series Models |
|
第7週 |
10/17 |
Univariate Nonstationary Time Series Models |
|
第8週 |
10/24 |
Mid-term Exam |
|
第9週 |
10/31 |
Model Identification, Estimation, and Diagnostic |
|
第10週 |
11/07 |
Model Identification, Estimation, and Diagnostic |
|
第11週 |
11/14 |
Model Identification, Estimation, and Diagnostic |
|
第12週 |
11/21 |
Seasonal Time Series Models |
|
第13週 |
11/28 |
Time Series Forecasting and Multivariate Models |
|
第14週 |
12/05 |
Time-Frequency Analysis |
|
第15週 |
12/12 |
Wavelet Transformation |
|
第16週 |
12/19 |
Final-term Exam |
|
第17週 |
12/26 |
Report Due |
|