Rutgers University
College of Engineering
Department of Industrial Engineering
540:530 Forecasting and Time Series
Instructor: Dr. M. B. Gürsoy
Office: CoRE 218
Phone: X-5465
Topics to be covered:
    1. Introduction to Time Series Modeling

    2. Stationary Processes

    3. Linear Stationary Models-ARMA Models

    4. Spectral Analysis

    5. Modeling and Forecasting with ARMA Processes

    6. Linear Nonstationary(ARIMA) and Seasonal Models

    7. Multivariate Time Series

    8. State-Space Models

    9. Other Forecasting Techniques

    10. Nonlinear Models (ARCH, GARCH)


Introduction to Time Series and Forecasting”, by P. J. Brockwell and R. A. Davis, Springer, 2nd Edition, 2002.

    1. Time Series Analysis: Forecasting and Control”, by G. E. P. Box, G. M. Jenkins and G. C. Reinsel, Prentice Hall, 4rd Edition, 2008.

    2. ARCH Models and Financial Applications”, C. Gourieroux, Springer, 1997.

※ All exams are closed book closed notes, no electronic or hard copy cheat sheets are allowed. Please go over the Rutgers Academic Integrity Policy.