STAT 463Applied Time Series Analysis

3 credits · Statistics · Penn State

Identification of models for empirical data collected over time; use of models in forecasting. STAT 463 Applied Time Series Analysis (3)This course covers many major topics in time series analysis. Students will learn some theory behind various time series models and apply this theory to multiple examples. An introduction to time series and exploratory data analysis will be followed by a lengthy study of several important models, including autoregressive, moving average, autoregressive moving average (ARMA), autoregression integrated moving average (ARIMA), and seasonal models. For each model methods for parameter estimation, forecasting, and model diagnostics will be covered. Additional topics will include spectral techniques for periodic time series, including power spectra and the Fourier transform, and one or more miscellaneous topics chosen by the instructor, such as forecasting methods, transfer function models, multivariate time series methods, Kalman filtering, and signal extraction and forecasting. The use of statistical software will be a central component of this course, as will the proper interpretation of computer output. Students enrolling for this course are assumed to have taken a semester-long course on regression.