MS-C2128 - Prediction and Time Series Analysis, Lecture, 1.11.2021-21.12.2021

Pääsy vierailijana
Please note! Course description is confirmed for two academic years, which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.

LEARNING OUTCOMES

After passing the course the students can analyse and forecast time series using regression models and ARIMA-models. Students are able to apply linear regression model to analyse and forecast dependent variable under the model assumptions. In addition, the students are able to conduct diagnostic tests to validate the model assumptions. Students are familiar with the concept weakly stationary processes and they understand the most important related concepts including the autocorrelation function, partial autocorrelation function, and the spectral function. Students are also able to apply these functions in analysing real time series, for example, in recognising seasonal fluctuations. After taking the course, the students know ARIMA-models and their key properties. In addition, the students are able to model and predict the future behaviour of observed time series using ARIMA-models. The students also know basic concepts of dynamic regression models.

Credits: 5

Schedule: 01.11.2021 - 21.12.2021

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Pauliina Ilmonen

Contact information for the course (applies in this implementation):

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

  • valid for whole curriculum period:

    The course is an introduction to time series analysis. Course topics include linear regression model and its diagnostics, central concepts of weakly stationary processes, ARIMA-models and their properties, stationarity of ARIMA-models, forecasting with ARIMA-models, Kalman filter, and introduction to dynamic regression models. Software R is used in the exercises of the course.

Assessment Methods and Criteria

  • valid for whole curriculum period:

    Homework assignments, exercise points, exam

Workload

  • valid for whole curriculum period:

    Lectures 24h (2), Exercises 24h (2), Homework assignments 48h, reading and studying the lecture materials 36h

DETAILS

Study Material

  • valid for whole curriculum period:

    Lecture slides and the textbook Peter J. Brockwell, Richard A. Davis: Time Series Theory and Methods, Springer 2009 (reprint of the 2nd edition 1991).

Substitutes for Courses
Prerequisites

FURTHER INFORMATION

Further Information

  • valid for whole curriculum period:

    Teaching Period:

    2020-2021 Autumn II

    2021-2022 Autumn II

    Course Homepage: https://mycourses.aalto.fi/course/search.php?search=MS-C2128

    Registration for Courses: In the academic year 2021-2022, registration for courses will take place on Sisu (sisu.aalto.fi) instead of WebOodi.

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