| 課程目標 |
本課程主要介紹分析時間序列資料的基本理論與應用方法。內容有穩定序列的自相關函數(ACF)、偏自相關函數(PACF)與ARMA模型的選模方法，至於非穩定序列，其數學性質也將有所討論。同時，對於非線性的時間序列，如ARCH，GARCH等，也將一併介紹。最後，將所學方法應用在分析實際財金資料。 |
Objectives |
This course would give the basic theory and methods for application about analyzing time series data. The content include auto-correlation function , partial auto-correlation function and model selection problem of ARMA model, of stationary process. As non-stationary series, its mathematical properties would also be discussed. The option part is about nonlinear time series model, like ARCH and GARCH models. Finally, real financial data sets are analyzed by using our methods. |