Time Series Analysis



·         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.



Carolina García-Martos


ETSII -Universidad Politécnica de Madrid

Andrés M. Alonso


Department of Statistics

Universidad Carlos III of Madrid.