| Dear all, | |
Dated: 4th Feb, 2014
SUB: SHORT TERM COURSE ON TIME SERIES ANALYSIS
We are happy to announce that we are organizing a Invited Lecture Series on Lectures on Applied time Series Analysis by Prof T. Subba Rao, Emeritus Professor of Statistics in the School of Mathematics, University of Manchester, U.K., and Adjunct Professor at CR Rao AIMSCS. The following topics will be covered during the lectures:
Time series Methods are often used in the analysis of data when there is temporal correlation in the data. Statistical models can be constructed to explain the correlation structure and these in turn can be used to obtain better forecasts. For example, daily temperatures at a given location, prices of various commodities, stock market prices (BSE index) are specific examples. Our object in this course is to introduce basic ideas of time series, define linear time series models and study their properties and consider their estimation. Forecasting using these models will also be considered. Whenever possible, the use of R software in the analysis will be demonstrated. Analysis of environmental time series will also be considered.
Lectures
Lectures 1 and 2:
Basic definitions, stationarity (second order stationarity, strict stationarity). Definition of autocorrelation. Estimation of mean, variance, auto covariances and correlations, their sampling properties.
Lectures 3 and 4:
Linear Time Series Models: White noise (Gaussian white noise). Test for white noise. Harmonic Processes, Autoregressive Models, Moving average Models and autoregressive Moving average Models. The Properties of these models. Brief discussion of invertibility and its relevance to forecasting.
Lectures 5 and 6:
Estimation of Linear Models ,Diagnostic checks. Mean Square error Forecasting, Second order spectral methods.
Lecture 7:
Limitations of Linear Models. Introduction to Nonlinear Models, Bilinear models, ARCH models, GARCH models.
2. Provisional Schedule of the above programme is given below:
| Date | Time |
| 17th Feb, 2014 (Monday) | 3.30 PM to 5.00 PM |
| 24th Feb, 2014 (Monday) | 3.30 PM to 5.00 PM |
| 3rd March, 2014 (Monday) | 3.30 PM to 5.00 PM |
| 10th March, 2014 (Monday) | 3.30 PM to 5.00 PM |
| 18h March, 2014 (Tuesday) | 3.30 PM to 5.00 PM |
| 24th March, 2014 (Monday) | 3.30 PM to 5.00 PM |
| 25th March, 2014 (Tuesday) | 3.30 PM to 5.00 PM |
Venue: 1st Floor Lecture Hall, Ramanujan Building, CR Rao (AIMSCS), UOH Campus
a) Hands on Session (18th March, 2014) using R Package will be held by Dr Sourav Das of National University of Singapore (NUS), Singapore and Dr Ananya Lahiri of Chennai Mathematical Institute (CMI), Chennai. Due to limited number of computers in the lecture hall, the number of places will be limited (Maximum 40) for the hands on session. So please register early if you wish to attend the hands on session by contacting Dr P Manimaran Email: rpmanimaran@yahoo.com before 15th Feb, 2014.
b) All are cordially invited to attend the above lectures. Please inform Dr P Manimaran, if you are attending lectures before 15th Feb, 2014.
Yours sincerely,
(Dr ALLAM APPA RAO)
DIRECTOR, AIMSCS
PRO UoH <pro@uohyd.ac.in>
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