The Fundamental Theorem of Forecasting. Forecast erroe variances. General description Time Series Analysis has, over the past 20 years, been one of the fastest growing areas of Statistics and is an area of active research at Aberystwyth. It is concerned with situations where data or random variables are generated sequentially through time, and this makes the variables involved dependent on one another as opposed to having independent variables as in most other Statistics problems. This module develops a class of models to cater for such dependence, and considers how they are fitted to data, as well as how they may be used to forecast future values beyond the data set.
Students gain experience of the methodology by undertaking a short project.
The Analysis of Time Series . Holden-Day J D Hamilton. Time Series Analysis . Princeton University Press M G Kendall and J K Ord. Time Series .