August 17, 2001
MATH 446/646 Time Series Analysis— Fall 2001 |
Instructor | Sunil Dhar |
Office | Cullimore Hall, Room 327 |
Office Phone # | (973) 596-3488 |
email address | sunidh@m.njit.edu |
hyper link to Math 446/646 |
http://eies.njit.edu/~dhar/math446w646/math446w646intro.html |
Office Hours | Mondays, Tuesday and Thursday, each day 10:30am - 11:30 am |
Class Schedule | Monday 6:00 pm to 9:05 pm, Kupfrain Hall 204 |
Text book | Introduction to time series and forecasting by Peter J.
Brockwell and Richard A. Davis, Springer, New York. Reference book: Forecasting methods and applications, third edition, by Spyros Makridakis, Steven Wheelwright, and Rob Hyndman, publisher John Wiley and Sons, Inc. |
Software | Software accompanying the text book, Microsoft Excel with Data
Analysis Add-in and SAS |
Grading | Homework/Quizzes 20% Two Exams 25% each = 50% Final Exam 30% Please see details below |
Time series modeling, estimation and forcasting will be introduced at a very basic
level. An indepth coverage
of the same material will also be presented at the graduate level. Following are the
details of the topics to be
covered here. Time series models, smoothing techniques (e.g., exponential smoothing),
trend analysis and
removal of seasonality. Naive forecasting models, stationarity and ARMA models.
Autocorrelation, partial
autocorrelation, moving average, and autoregresive representation of series. Estimation
and forecasting for
ARMA models. Estimation, model selection and forecasting of nonseasonal and seasonal ARIMA
models,
if time permits.
Weekly homework problems will be assigned. Some of these assignments may require the
use of statistical
software for their solution. You must work out not only these problems but also practice
similar problems
and learn the techniques needed to solve them. Every week you will have either a quiz or
you will be handing
in your homework. The quiz will test your knowledge on the material covered in class.
Homework/Quizzes
will cover 20% of your grade. There are two exams at two different levels one at the
graduate level
(Math 646) and the other at the undergraduate level (Math 446) and will represent 50% of
the final grade.
The final exam is also similarly at two levels and it represents 30% of your grade.
Class Rules, Department and University policies: