Checking date: 24/04/2023

Course: 2023/2024

Time Series and Forecasting
(17312)
Dual Bachelor Data Science and Engineering - Telecommunication Technologies Engineering (Plan: 456 - Estudio: 371)

Coordinating teacher: GALEANO SAN MIGUEL, PEDRO

Department assigned to the subject: Statistics Department

Type: Electives
ECTS Credits: 6.0 ECTS

Course:
Semester:

Requirements (Subjects that are assumed to be known)
Introduction to Statistical Modeling Statistical Signal Processing Predictive Modeling
Objectives
1. Possess and understand knowledge that provides foundations for the development and / or application of this knowledge, often, in a research context. 2. Apply the acquired knowledge to solve problems in new or unfamiliar environments within multidisciplinary contexts related to their area of study. 3. Integrate knowledge and face the complexity of formulating judgments based on information that, being incomplete or limited, should include reflections on the social and ethical responsibilities linked to the application of their knowledge and judgments. 4. Possess learning skills that allow them to continue studying in a way that will be self-directed or autonomous. 1. Apply the theoretical foundations of the techniques for the collection, storage, treatment and presentation of information as a basis for the development and adaptation of these techniques to specific problems. 2. Identify the most appropriate data analysis techniques for each problem and apply them for the analysis, design and resolution of these problems. 3. Obtain practical and efficient solutions for problems of treatment of data sets, both individually and as a team. 4. Synthesize the conclusions obtained from these analyzes and present them clearly and convincingly, both in writing and orally. 5. Be able to generate new ideas (creativity) and anticipate new situations, in the contexts of data analysis and decision making. 6. Use skills for teamwork and to relate to others autonomously. Specific Competences: 1. Use the basic results of statistical inference and regression as a basis for prediction methods. 2. Identify and select the appropriate software tools for the treatment of time series. 3. Use advanced statistical procedures for the treatment of time series in areas such as modeling, inference and prediction. 4. Design systems for the processing of time series, from the initial collection and filtering of them, their statistical analysis, to the presentation of the final results.
Skills and learning outcomes
Description of contents: programme
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.
Learning activities and methodology
Theoretical classes with support material on the web. Practical classes of resolution of problems, with additional problems in the web and its solutions. Practical computer classes in computer rooms. Realization of a prediction project under the supervision of professors. For the realization of the project it will be required that the student uses statistical / econometric software for the construction of models and its application to predict. Oral presentations of the progress in the projects will be made with debates among the students and a final defense of the project.
Assessment System
• % end-of-term-examination 50
• % of continuous assessment (assigments, laboratory, practicals...) 50
Calendar of Continuous assessment
Basic Bibliography
• Box, G.E.P., Jenkins, G.M. and Reinsel, G.C. . Time Series Analysis, Forecasting and Control. Wiley. 2008
• Brockwell, P.J. and Davis, R.A.. Introduction to Time Series and Forecasting. Springer. 2008
• Diebold, F.X. . Elements of Forecasting. South-Western College. 2001
• Tsay, R.S. . Analysis of Financial Time Series. Wiley. 2010