Métodos de Previsão

Objetivos

The main objective of this course is to develop the skills needed to do empirical research in fields operating with time-series data sets.
The course intends to meet two goals: it provides tools for empirical work with time series data and is an introduction into the theoretical foundation of time series models. Much of the statistical methodology is concerned with models in which the observations are assumed to be independent. However, many data sets occur in the form of time series where observations are dependent. In this course, we will concentrate on time series analysis, with a balance between theory and applications.

Caracterização geral

Código

200088

Créditos

3.5

Professor responsável

Jorge Morais Mendes

Horas

Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês

Pré-requisitos

Bibliografia

- Shumway, R.H. and Stoffer, D.S. (2011). Time Series Analysis and its Applications with Examples in R, 3rd edition, Springer.
- Hyndman, R. J., Athanasopoulos, G. (2018). FORECASTING: PRINCIPLES AND PRACTICE, 2nd edition

Método de ensino

The curricular unit is based on theoretical and practical lessons. A variety of instructional strategies will be applied, including lectures, slide show demonstrations, step-by-step applications (with and without software), questions and answers. The sessions include presentation of concepts and methodologies, solving examples, discussion and interpretation of results. The practical component is geared towards solving problems and exercises, including discussion and interpretation of results. A set of exercises to be completed independently in extra-classroom context is also proposed.

Método de avaliação

(50%) Final exam (1st and 2nd rounds)
(50%) Project (optional)
Final grade: maximum (Final exam grade;0.5*(Final exam grade)+0.5*Project grade))

A minimum grade of 8.5 is required in the final exam to pass.

Conteúdo

1. Time Series Basics
2. AR Models, ACF
3. MA Models, PACF
4. ARMA & ARIMA models
5. Seasonal Models

Cursos

Cursos onde a unidade curricular é leccionada: