ST608 :

Department

Department of Statistics

Academic Program

Master in Statistics

Type

Compulsory

Credits

03

Prerequisite

Overview

· To introduce the concept of a time series, and discuss a range of descriptive methods for identifying features of interest;

· To present a range of approaches for representing trends and seasonality in a time series, and to assess their relative merits;

· To describe the theoretical properties of commonly used time series models;

· To describe a range of approaches for predicting future values of a time series;To show how to apply the techniques from the course to real time series data sets in the statistical package R.

Intended learning outcomes

أ‌. (Knowledge & understand)

أ.1

Understandable the concept of components of time series

أ.2

Understandable basic concepts of using time series models

أ.3

Define the class of ARIMA and SARIMA probability models

أ.4

Define what it means for a time series to be stationary

ب‌. (Mental skills)

ب.1

Distinguishing between Deterministic and stochastic model ,

ب.2

Distinguishing between Stationary and non-stationary stochastic models,

ب.3

determine whether a particular model from the class of ARIMA models is stationary and invertible

ب.4

determine an appropriate model for a data set from the class of ARIMA or SARIMA models

ت‌. (Practical & professional skills)

ج.1

Predict future values for a given time series;

ج.2

Derive the mean, variance and autocorrelation function for a particular model from the class of ARIMA models;

ج.3

Built an appropriate model for a data set from the class of ARIMA or SARIMA models

ج.4

Evaluate an appropriate model accuracy in R using a validation data set

ث‌. (Generic and transferable skills)

د.1

The student can communicate in writing and orally and express a sound opinion in addressing the research reality

د.2

The student has weight in dealing with the work team and consulting in ways to solve problems and study related phenomena

د.3

The student communicates with interested teams on both theoretical and practical aspects in the field of the course

Teaching and learning methods

•Lectures•Exercises• Independent self-studies