STAT 6820 - Time Series Analysis

The theoretical development and practical use of seasonal and non-seasonal ARIMA (Autoregressive Integrated Moving Average) Box-Jenkins time series models is presented. Identification of correct time series models, estimation of model parameters, and diagnostic checks of identified models will be covered. The uses of these models for forecasting future trends and assessing interventions will be examined. Extensive data analysis using SAS, MINITAB, and BIOMED statistical packages are included. Topics include: autocorrelation function, partial autocorrelation functions, Yule-Walker equations, differencing, stationarity, autocorrelation models, moving average models, seasonality, invertibility, and Box-Pierce tests.

Prerequisites/Corequisites: Prerequisites: STAT 6600 and 6620.

Credits 3 hrs.

Notes:
Open to Graduate Students Only.