Time Series

Time series is an optional subject in the itinerary of Mathematics applied to Social Sciences. The objective of the course is to provide an introduction to time series models for univariate time series data. In particular, we will study the class of AutoRegressive Integrated Moving Average (ARIMA) models. Within this class, we will cover the problems of model identification, estimation, selection and model diagnosis and prediction. For computation, visualization and analysis of time series data we will use the free software R. Background on probability and statistical inference will be helpful but not required.

Course will consist of 60hrs of in class work and 90 hrs of independent work outside the classroom.