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Course Detail

Degree
Bachelor
Standard Academic Year
Course delivery methods
face-to-face
Subject
Mathematical sciences
Program
School
Institute of Mathematics ans Statistics (IME)
Department
Campus
São Paulo main campus
Classroom
Course Offering Year
Course Offering Month
January - January
Weekday and Period
Capacity
50
Credits
8
Language
English
Course Number
MAE5870

Time Series Analysis University of Sao Paulo

Course Overview

Learning Achievement

Competence

Course prerequisites

Grading Philosophy

Course schedule

1. Concepts: stochastic processes and time series, stationarity, autocovariance function and spectrum. 2. Stationary ARMA models; ARIMA models, the general linear model and harmonic models; long memory models. 3. Non-linear Models: ARCH, GARCH and extensions. 4. Spectral Analysis: Fourier series, analysis of periodic and non-periodic functions, spectral representation of stationary processes and linear filters. 5. Estimation in the time domain: estimation of the mean and covariance function, identification, estimation and forecasting using ARIMA models and conditionally heteroscedastic models. 6. Estimation in the frequency domain: the finite Fourier transform and the periodogram and smoothed estimators; 7. State space models: definition, the Kalman filter, estimation and forecasting.

Course type

Online Course Requirement

Instructor

Chang Chiann, Airlane Pereira Alencar

Other information

Site for Inquiry

Please inquire about the courses at the address below.

Email address: https://www.ime.usp.br/en