6198 - 時間序列分析
Time Series Analysis
教育目標 Course Target
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、廣義自我迴歸條件異質變異數模式、非線性模式、風險值預測等。
The purpose of this course is to understand the basic characteristics of time series data, and at the same time introduce various time series models and practical application opportunities to gain the ability to analyze time series. The course mainly includes linear time series analysis, generalized autoregressive conditional heterogeneous variation model, nonlinear model, risk value prediction, etc.
參考書目 Reference Books
Analysis of Financial Time Series, 3rd Edition [新月代理] by Ruey S. Tsay, Wiley, 2010
Analysis of Financial Time Series, 3rd Edition [New Moon Agency] by Ruey S. Tsay, Wiley, 2010
評分方式 Grading
| 評分項目 Grading Method |
配分比例 Percentage |
說明 Description |
|---|---|---|
|
期中期末報告 Interim and final report |
60 | 書面報告 |
|
平時表現與作業 Daily performance and homework |
40 |
授課大綱 Course Plan
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課程資訊 Course Information
基本資料 Basic Information
- 課程代碼 Course Code: 6198
- 學分 Credit: 3-0
-
上課時間 Course Time:Wednesday/2,3,4[M442]
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授課教師 Teacher:林孟樺
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修課班級 Class:統計碩1,2
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