課程資訊
課程名稱
時間序列分析
Time Series Analysis 
開課學期
102-1 
授課對象
公共衛生學院  流行病學與預防醫學研究所  
授課教師
林金龍 
課號
EPM7003 
課程識別碼
849 M0870 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期五6,7,8(13:20~16:20) 
上課地點
公衛211 
備註
與刁錦寰合開
總人數上限:50人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/1021EPM7003 
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課程概述

The course starts with a lecture introducing time series modeling strategy and its usage. Then, several lectures are devoted to Box-Jenkins modeling procedures for univariate time analysis, including identification, estimation, diagnostic checking and forecasting of a time series model. Seasonal models with applications is also discussed. Two important topics, intervention and outlier, are illustrated with examples followed by some discussions on unit root test. Finally, the class ends with some discussions on the analysis of public health data.
Similar to univariate time series, multiple time series modeling procedure consists of identification, estimation, diagnostic checking and forecasting. Methods with applications will be discussed.
One can not really master time series models without actually using them for real data analysis. Scientific Computation Association (SCA) is the statistical package adopted in this course. Students are required to use SCA for homework and a term project. 

課程目標
This course focuses exclusively on methods and applications of time series analysis designated for graduate students majoring in economics, finance, statistics, engineering, public health, or other related fields. Both univariate and multivariate time series modeling are covered. 
課程要求
Pre-required course: econometrics, mathematical statistics or Biostatistics(生物統計學一) 
預期每週課後學習時數
 
Office Hours
另約時間 
參考書目
1. Box, G, Jenkins, G. and Reinsel, R. (1994) Time Series Analysis, Forecasting
and Control, 3rd edition, Prentice Hall
2. Wei, W.S. (2006) Time Series Analysis: Univariate and Multivariate methods , 2nd edition, Addison Wesley
3. Pena, D. Tiao, C. and Tsay, R.S. (2001) A Course in Time Series Analysis,
John Wiley & Sons 
指定閱讀
1. 3 Packets
2. Additional notes distributed in class
3. SCA software 
評量方式
(僅供參考)
 
No.
項目
百分比
說明
1. 
Homework 
20% 
 
2. 
Midterm 
40% 
 
3. 
Final Project 
40% 
 
 
課程進度
週次
日期
單元主題
第1週
9/13  Introduction 
第2週
9/15  Box-Jenkins univariate time series modeling (I) (Sunday) 
第3週
9/20  Box-Jenkins univariate time series modeling (II) 
第4週
9/22  Box-Jenkins univariate time series modeling (III) (Sunday) 
第5週
9/27  Box-Jenkins univariate time series modeling (IV) 
第6週
9/29  Box-Jenkins univariate time series modeling (V) (Sunday) 
第7週
10/4  Box-Jenkins univariate time series modeling (VI) 
第8週
10/6  Box-Jenkins univariate time series modeling (VII) (Sunday) 
第9週
10/11  Seasonal Models 
第10週
10/18  Intervention and outlier analysis 
第11週
10/25  Unit root problems 
第12週
11/1  Review 
第13週
11/8  Multivariate time series modeling (I) 
第14週
11/10  期中考 
第15週
11/15  Multivariate time series modeling (II) 
第16週
11/22  Multivariate time series modeling (III) 
第17週
11/29  Seasonal adjustment 
第18週
12/13  Final Project Presentation