Introduction to time series analysis

Course title

Code

F18L3W076

Study programme

—

Organizer of the study programme (unit, institute, department)

Faculty of Computer Science and Engineering

Degree level (first, second, third cycle)

First cycle

Academic year / semester

7 / Winter

Number of ECTS credits

Teacher

—

Prerequisites for enrolling in the course

Вовед во случајни процеси или Статистичко моделирање

10.

Course objectives (competences)

The course is an introduction to types of time series, and covers: stationary processes, spectral analysis of stationary processes, ARMA models, ARIMA and seasonal ARIMA models, state-space methods. After completing the course, students be able to analyze arbitrary time series, including stock market time series, to predict future events, as well as to recognize events that are described with time series.

11.

Course content

Stationary processes
Forecasting in stationary time series
Spectral analysis and filtering
Introduction to ARMA and ARIMA processes
Modeling and forecasting with ARMA and ARIMA processes
Non-stationary and seasonal models of time series
Time series models of of financial data
Multivariate time series
State-space methods
Correlation and autocorrelation
Statistical methods in time and frequency domain
Modeling for forecasting and recognition of events with regression and classification

12.

Learning methods

Lectures supported by slide presentations, interactive lectures, practical classes (using equipment and software packages), teamwork, case studies, guest lecturers, independent preparation and defence of a project assignment and seminar paper, and learning in an electronic environment (forums and consultations).

13.

Total available time

6 ECTS x 30 hours = 180 hours

14.

Distribution of the available time

30 + 45 + 15 + 15 + 75 = 180 hours

15.

Forms of teaching activities

15.1.	Lectures – theoretical teaching	30 hours
15.2.	Exercises (laboratory, auditory), seminars, team work	45 hours

16.

Other forms of activities

16.1.	Project assignments	15 hours
16.2.	Individual assignments	15 hours
16.3.	Home study	75 hours

17.

Grading

17.1.	Tests	10 points
17.2.	Seminar paper / project (presentation: written and oral)	15 points
17.3.	Activity and participation	10 points
17.4.	Final exam	70 points

18.

Grading criteria (points / grade)

up to 50 points	5 (five) (F)
from 51 to 60 points	6 (six) (E)
from 61 to 70 points	7 (seven) (D)
from 71 to 80 points	8 (eight) (C)
from 81 to 90 points	9 (nine) (B)
from 91 to 100 points	10 (ten) (A)

19.

Requirements for signature and taking the final exam

Activities carried out

20.

Language of instruction

Macedonian and English

21.

Method of monitoring teaching quality

internal evaluation and survey mechanism

22.

Literature

22.1.	Required literature No. Author Title Publisher Year
22.2.	Additional literature No. Author Title Publisher Year