STA621 : Time Series Analysis

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Course Info

Course Category

Probability & Statistics

Course Level


Credit Hours





Dr.Sohail Chand
University of Nottingham, UK.

Course Contents

Introduction to time series analysis, Descriptive Statistics, Accuracy measures-Theil''''s U statistic, Introduction to Smoothing methods, Components of time series, Decomposition, Trend Fitting, Introduction to general linear process, Autoregressive process, Yule Walker Equations, Stationarity condition of autoregressive process,  Random walk, Unit root test, Box-Jenkins iterative model building procedure, Use of Model Selection Criteria for Model Identification, Estimation of Model parameters, Diagnostic checking of fitted model , Autocorrelation check, Box-Pierce test, Ljung-Box-Pierce test, Monti''''s test, Use of residuals to modify the model, Minimum mean square error forecasts, Applications to some real life data of Pakistan