Time Series and Forecasting

Engineering & Social Sciences Program
Madrid, Spain

Dates: 1/16/25 - 6/4/25

Engineering & Social Sciences

Time Series and Forecasting

Time Series and Forecasting Course Overview

OVERVIEW

CEA CAPA Partner Institution: Universidad Carlos III de Madrid
Location: Madrid, Spain
Primary Subject Area: Computer Engineering
Instruction in: English
Course Code: 17312
Transcript Source: Partner Institution
Course Details: Level 400
Recommended Semester Credits: 3
Contact Hours: 42
Prerequisites: Introduction to Statistical Modeling Statistical Signal Processing Predictive Modeling

DESCRIPTION

1. Introduction to time series
1.1 Examples of univariate time series
1.2 Examples of multivariate time series
1.3 Software for time series analysis

2. Time series decomposition.
2.1 Time series components.
2.2 Classical decomposition.
2.3 ARIMA decomposition.
2.4 STL decomposition.
2.5 Forecasting with decomposition.
2.7 Exponential smoothing techniques.

3. ARIMA models.
3.1 Stationarity and differencing.
3.2 Backshift notation
3.3 Autoregressive models.
3.4 Moving average models.
3.5 Non-seasonal ARIMA models.
3.6 Estimation and order selection.
3.7 Seasonal ARIMA models.
3.7 Forecasting with ARIMA models.

4. Advanced forecasting methods.
4.1 Dynamic regression models.
4.2 Vector autoregressions.
4.3 Dynamic factorial models.
4.4 Forecasting hierarchical or grouped time series.

5. Conditional heteroscedastic models.
5.1 GARCH models.
5.2 Statistical properties.
5.3 Estimating parameters and volatilities


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