本課程目的為理解時間序列資料的基本特徵，同時介紹各種時間序列模型與實務上的運用時機以獲得分析時間序列的能力。課程主要包含了線性時間序列分析、條件變異異質性模式、非線性模式、風險值預測等。The purpose of this course is to understand the basic characteristics of time sequence data, and to introduce various time sequence models and practical time machines to gain the ability to analyze time sequences. The course mainly includes linear time sequence analysis, conditional variation patterns, non-linear patterns, risk value prediction, etc.
Analysis of Financial Time Series, 3rd Edition [新月代理] by Ruey S. Tsay, Wiley, 2010
Time Series Analysis: Forecasting and Control, 5th Edition [滄海代理] by George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung, Wiley, 2015
Analysis of Financial Time Series, 3rd Edition [Crescent Agent] by Ruey S. Tsay, Wiley, 2010
Time Series Analysis: Forecasting and Control, 5th Edition [海海海洲] by George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung, Wiley, 2015
| 評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
|---|---|---|
| 期中期末報告期中期末報告 Mid-term and final report |
70 | 書面及上台報告 |
| 平時作業平時作業 Normal operation |
30 |
