MAT 343E - Time Series Analysis

Course Objectives

The knowledge of modeling, prediction and forecasting the deterministic and sthocastic part of a time series. Applications of time series using MATLAB. Data collecting, data cleaning, modeling, forecasting and prediction. Power point presentation of the given projects.

Course Description

Basic subjects related to modeling: metric, norm, inner product; Taylor series, Fourier series; modeling, "least square estimation", eror computations. Modeling and prediction of derterministic variations. Trend analysis, polynomial approximation, investigation of periodic variations, modeling and prediction difficulties, Forecast and error modeling.Modeling of the error as a sthocastic variable. Forecasting using ARMA and GARCH models.