STAT 443 – Time Series and Forecasting Course Reflection

After finishing STAT 443, I feel that the topics covered in this course will be very useful in my career. The professor Natalia Nolde was a great and I felt that she genuinely cared for her students. We were required to submit our assignments as PDF versions of R Markdown. It was fun to learn and the results after knitting our code was super rewarding. My friend Shangeeth described our finished R Markdown assignments as works of art because they looked so professional and took a lot of hard work.

Topics covered in this course:

  • Trend and seasonality(additive/multiplicative)
  • Autocorrelation/Autocovariance andĀ correlogram
  • White noise / error
  • Yule-Walker
  • Stationarity
  • Stochastic models including AR, MA, ARMA, ARIMA, SARIMA models
  • Exponential smoothing
  • Holt-Winters methods
  • Box-Jenkins prediction approach
  • Frequency domain
  • Fourier transforms
  • Spectral density
  • Models for changing variance: GARCH processes

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