Syllabus
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
Email: gursoy@soe.rutgers.edu
COURSE OUTLINE
 
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)

Text:

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

References:
    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.