Time Series Analysis

Slides:

· Introduction to time series.

· Descriptive analysis of a time series.

· Time series and stochastic processes.

· Autoregressive, MA and ARMA processes.

· Integrated and long memory processes.

· Seasonal ARIMA processes.

· Forecasting with ARIMA models.

· Identifying possible ARIMA models.

· Estimation and selection of ARIMA models.

· Model diagnosis and prediction.

Data files:

· <Data files.zip>.

Matlab tutorials:

· Ausin Olivera, C. (2005) MATLAB Tutorials. Part I and Part II.

Links:

	Carolina García-Martos ETSII -Universidad Politécnica de Madrid
	Andrés M. Alonso Department of Statistics Universidad Carlos III of Madrid.