Time Series Modelling and Simulation - MA639

Location Term Level Credits (ECTS) Current Convenor 2018-19
Canterbury
(version 2)
Spring
View Timetable
6 15 (7.5) DR A Kume

Pre-requisites

MA5507 (Mathematical Statistics) or equivalent

Restrictions

None

2018-19

Overview

A time series is a collection of observations made sequentially in time. Examples occur in a variety of fields, ranging from economics to engineering, and methods of analysing time series constitute an important area of statistics. This module focuses initially on various time series models, including some recent developments, and provides modern statistical tools for their analysis. The second part of the module covers extensively simulation methods. These methods are becoming increasingly important tools as simulation models can be easily designed and run on modern PCs. Various practical examples are considered to help students tackle the analysis of real data.The syllabus includes: Difference equations, Stationary Time Series: ARMA process. Nonstationary Processes: ARIMA Model Building and Testing: Estimation, Box Jenkins, Criteria for choosing between models, Diagnostic tests.Forecasting: Box-Jenkins, Prediction bounds. Testing for Trends and Unit Roots: Dickey-Fuller, ADF, Structural change, Trend-stationarity vs difference stationarity. Seasonality and Volatility: ARCH, GARCH, ML estimation. Multiequation Time Series Models: Spectral Analysis. Generation of pseudo – random numbers, simulation methods: inverse transform and acceptance-rejection, design issues and sensitivity analysis.

Marks on this module can count towards exemption from the professional examination CT6 of the Institute and Faculty of Actuaries. Please see http://www.kent.ac.uk/casri/Accreditation/index.html for further details.

Details

This module appears in:


Contact hours

46

Method of assessment

80% Examination, 20% Coursework

Indicative reading

Enders, W. (2004), Applied Econometric Time Series, New York: Wiley.
Brockwell, P.J., and Davis, R. A. (2002), Introduction to Time Series Analysis and Forecasting, New York: Springer-Verlag.
Morgan, B. J. T. (1984), Elements of Simulation, London: Chapman & Hall/CRC.

See the library reading list for this module (Canterbury)

See the library reading list for this module (Medway)

Learning outcomes

The intended subject specific learning outcomes
On successfully completing this module students will be able to:
1 demonstrate systematic understanding of key aspects of time series modelling and simulation;
2 demonstrate the capability to deploy established approaches accurately to analyse and solve problems using a reasonable level of skill in calculation and manipulation of the material in the following areas: ARIMA and GARCH time series models including those modelling seasonality, main methods for simulating random variates;
3 apply key aspects of time series modelling in well-defined contexts, showing judgement in the selection and application of tools and techniques.

The intended generic learning outcomes
On successfully completing this module students will be able to:
1 manage their own learning and make use of appropriate resources;
2 understand logical arguments, identifying the assumptions made and the conclusions drawn;
3 communicate straightforward arguments and conclusions reasonably accurately and clearly and communicate technical material competently;
4 manage their time and use their organisational skills to plan and implement efficient and effective modes of working;
5 solve problems relating to qualitative and quantitative information;
6 make competent use of information technology skills such as online resources (Moodle);
7 communicate technical material competently;
8 demonstrate an increased level of skill in numeracy and computation;
9 demonstrate the acquisition of the study skills needed for continuing professional development.

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