履修条件
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授業概要
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This lecture will provide a first step to time series analysis. Mainly we focus on stationary ARMA processes and forecasting.
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授業形態 (項目)
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授業形態 (内容)
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使用する教材等
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全体の教育目標
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To understand how to analyze time series data
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個別の教育目標
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A first step to time series analysis
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授業計画
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1. Difference equations 2. Lag operator 3. Stationary ARMA processes 4. Forecasting
Note: This schedule may be changed according to the progress of the lecture.
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キーワード
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Stationarity, invertibility, optimal forecasting
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授業の進め方
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テキスト
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Hamilton (1994) Time Series Analysis, Princeton
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参考書
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学習相談
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試験/成績評価の方法等
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The percentage of attendance (50%), quiz (50%)
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その他
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添付ファイル
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更新日付
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2019-03-31 13:39:28.851
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