Course detail

LES5810 - Time Series Analysis

Credit hours

In-class work
per week
per week
10 weeks
120 hours

Andreia Cristina de Oliveira Adami
Mirian Rumenos Piedade Bacchi
Vitor Augusto Ozaki

Provide a basis for time series analysis. Such analysis includes the detection of components of interest
such as trends and seasonality, modeling a set of observations, and checking for breakage or sudden
changes in the behavior of the series.

1. FUNDAMENTAL CONCEPTS. 2. FOURIER ANALYSIS. periodogram. Test for Periodic Components. 3.
DECOMPOSITION MODELS. 4. ARIMA Models: Identification, Estimation, Verification and Forecasting. 5.
MODELS FOR SEASONAL TIME SERIES. 6. VAR MODELS: Structural VAR: Estimation and forecasting. 7.

BOX, G.E.P., JENKINS, G.M., REINSEL, G.C. Time Series : Forecasting and Control. Prentice Hall, New
Jersey, 1994. DAVIDSON, J. (2000). Econometric Theory. Blackwell Publishing. HENDRY, D.F. (1995).
Dynamic Econometrics. Oxford University Press. HAYASHI, F. (2000). Econometrics. Princeton University
Press. BAUWENS, L., LUBRANO, M., RICHARD, J.F. Bayesian inference in dynamic econometric models,
New York : Oxford University Press, 1999. CHATFIELD, C. The Analysis of Time Series. Chapman & Hall,
New York, 1996. SHUMWAY, R.H., STOFFER, D.S. Time Series Analysis and Its Applications: With R
Examples, Springer, 2006. MORETTIN, P.A, TOLOI, C.M.C. Previsão de Séries Temporais. Editora Atual,
São Paulo, 1985. MORETTIN, P.A. TOLOI, C.M.C. Análise de Séries Temporais. 2ª edição revista e
ampliada. Editora Blucher, 2006. WEI, W.W.S. Time Series Analysis. Addison Wesley, New York, 1990.
REINSEL, G.C. Elements of Multivariate Time Series Analysis,Springer-Verlag, Nova Iorque, 1997.
LUTKEPOHL, H. Introduction to Multiple Time Series Analysis,Springer Verlag, 1993. BROCKWELL, P.J.,
DAVIS, R.A. Introduction to Time Series and Forecasting, Springer-Verlag, Nova Iorque, 2003.
PRIESTLEY, M.B. Spectral Analysis and Time Series, Academic Press, London, 1996. HAMILTON, J.D.
Time series analysis, 1994. WEI, W.W.S. Time Series Analysis - Univariate and Multivariate Methods, Addison-Wesley, Nova Iorque, 2006. BRILLINGER, D.R. Time Series: Data Analysis and Theory, SIAM: Society for Industrial and Applied Mathematics, 2001. EHLERS, R. Análise de Séries Temporais, Laboratório de Estatística e Geoinformação, Universidade Federal do Paraná, 2007. (