Skip to main content

Module

MAS3911 : Time Series

  • Offered for Year: 2021/22
  • Module Leader(s): Dr Daniel Henderson
  • Owning School: Mathematics, Statistics and Physics
  • Teaching Location: Newcastle City Campus
Semesters
Semester 2 Credit Value: 10
ECTS Credits: 5.0

Aims

•       To gain an understanding of the principles of time series analysis.
•       To develop skills for the modelling, analysis and forecasting of time series.

Module Summary

A time series is a set of ordered data with respect to time, such as the carbon dioxide concentration at a specific location measured at noon each day or the sales of a product recorded each month. Often in statistics, data are regarded as independent draws from a population. In time series analysis we typically do not regard consecutive observations to be independent, and build models to represent this dependence. Time series exhibit features such as trends and seasonal, or periodic, behaviour. In this module we consider modelling and inference for time series and forecasting future observations.

Outline Of Syllabus

Introduction to time series, including trend effects, seasonality and moving averages. Linear Gaussian processes, stationarity, autocovariance and autocorrelation. Autoregressive (AR), moving average (MA) and mixed (ARMA) models for stationary processes. Likelihood in a simple case such as AR(1). ARIMA processes, differencing, seasonal ARIMA as models for non-stationary processes. The role of sample autocorrelation, partial autocorrelation and correlograms in model choice. Tests of autocorrelation. Inference for model parameters. Forecasting. Dynamic linear models and the Kalman filter. Filtering and smoothing. Use of R for time series analysis.

Teaching Methods

Teaching Activities
Category Activity Number Length Student Hours Comment
Scheduled Learning And Teaching ActivitiesLecture201:0020:00Formal Lectures – Present in Person
Scheduled Learning And Teaching ActivitiesLecture21:002:00Revision Lectures – Present in Person
Scheduled Learning And Teaching ActivitiesLecture51:005:00Problem Classes – Synchronous On-Line
Guided Independent StudyAssessment preparation and completion151:0015:00Completion of in course assessments
Guided Independent StudyIndependent study581:0058:00Preparation time for lectures, background reading, coursework review
Total100:00
Jointly Taught With
Code Title
MAS8911Time Series
Teaching Rationale And Relationship

Lectures are used for the delivery of theory and explanation of methods, illustrated with examples, and for giving general feedback on marked work. Problem Classes are used to help develop the students’ abilities at applying the theory to solving problems.

Assessment Methods

The format of resits will be determined by the Board of Examiners

Exams
Description Length Semester When Set Percentage Comment
Written Examination1202A80N/A
Exam Pairings
Module Code Module Title Semester Comment
MAS8911Time Series2N/A
Other Assessment
Description Semester When Set Percentage Comment
Prob solv exercises2M10Coursework assignment
Prob solv exercises2M10Coursework assignment
Assessment Rationale And Relationship

A substantial formal unseen examination is appropriate for the assessment of the material in this module. The coursework assignments allow the students to develop their problem solving techniques, to practise the methods learnt in the module, to assess their progress and to receive feedback; these assessments have a secondary formative purpose as well as their primary summative purpose.

In the event of on-campus examinations not being possible, an on-line alternative assessment will be used for written examination 1.

Reading Lists

Timetable