IT833

Course Name: 

Advanced Time Series Analysis (IT833) (2020 Curriculum)

Programme: 

M.Tech (IT)

Category: 

Elective Courses (Ele)

Credits (L-T-P): 

(3-0-2) 4

Content: 

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.

References: 

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.

Department: 

Information Technology

Contact us

Head of the Department,
Department of Information Technology,
National Institute of Technology Karnataka,
SurathkalP. O. Srinivasnagar, Mangalore - 575 025
Ph.:    +91-824-2474056
Email:  hodit [at] nitk [dot] edu [dot] in
 

Web Admin: Sowmya Kamath S

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