IT412
Course Name:
Time Series Analysis (IT412) (2018 Curriculum)
Programme:
B.Tech (IT)
Category:
Programme Specific Electives (PSE)
Credits (L-T-P):
(3-0-0) 3
Content:
Introduction, Stochastic Processes, Stationary Time Series Process (Time Domain), Univariate Analysis: Autoregressive (AR) Process. Moving Average (MA) Process, Autoregressive Moving Average (ARMA) Process, Causality, Multivariate Anbalysis: Autoregressive Distributed Lag (ARDL) Model, Vector Error Correction (VEC) Model, Vector Autoregressive (VAR) Model, Spectral Analysis (Frequency Domain), Non- Stationary Time Series Process, Unit Root Tests: Dickey-Fuller Test Phillips-Peron Test Elliott-Rothenberg-Stock Test, Schmidt-Phillips Test, Kwiatkowski-Phillips-Schmidt -Shin (KPSS) Test, Zivot-Andrews Test, Cointegration introduction and tests, ARCH GARCH Model, Generalized Method of Moments (GMM)
References:
Shumway and D. S. Stoffer (2006), Time Series Analysis and Its Applications (With R Examples), Springer.
Brockwell, Peter J & Davis, Richard A: Introduction to Time Series and Forecasting. Springer Series, Second Edition.
Chatfield, Chris: Analysis of Time Series: an Introduction. Chapman & Hall. Sixth Edition.
Lütkepohl, Helmut: Introduction to Multiple Time Series Analysis. Springer-Verlag.
Hamilton James D: Time Series Analysis. Princeton University Press.
Department:
Information Technology