Course Name: 

Advanced Time Series Analysis (IT833) (2020 Curriculum)


M.Tech (IT)


Elective Courses (Ele)

Credits (L-T-P): 

(3-0-2) 4


Stationary processes, ensemble, random walk Vs trend, periodicity, linear process; Estimators mean, ACF, PACF, variogram; Properties covariance, normality; Regression, models for trend, differencing, backshift operator; Harmonic regression, periodogram, signal processing; Nonparametric regression, smoothing, periodic functions; Model selection, AIC, BIC, SIC, bias-variance trade-off; ARMA models; Estimation, MLE, LS, forward-backward; State-space models, Kalman filter, hidden state, HMM, Switching models, hidden Markov models (HMM), GARCH, stochastic volatility, financial models; Heteroscedasticity, Wavelets, Vector Autoregressive (VAR) Models, Integrated Variables and Cointegrated VAR Models, Time-varying parameter and Bayesian VARs, Multivariate GARCH models.


Shumway, R.H and Stoffer, D.S., Time Series Analysis and its Applications: With r Examples, Springer.
Pole A., West M. and Harrison P.J., Applied Bayesian Forecasting and Time Series Analysis.
Chapman-Hall. Tsay, R.S. Analysis of Financial Time Series, John Wiley and Sons.
West, M. and Harrison, P.J. (1997), Bayesian Forecasting and Dynamic Models, Springer-Verlag.


Information Technology

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Department of Information Technology,
National Institute of Technology Karnataka,
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Email:  hodit [at] nitk [dot] edu [dot] in

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