| STAT 436 |
CRN 8111, 15 Points (2009 2/3) |
| Coordinator: |
Prof Estate Khmaladze
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| Prerequisites: |
Approved 48 pts from 300-level OPRE, QUAN or STAT courses |
| Lectures: |
Wed 2-3 3-4 timetable |
| Recommended Reading: |
To be announced |
| Description: |
A general introduction to the theory and practice of time series prediction and signal extraction using stationary and non-stationary models. Specific topics include: an introduction to basic time series models and prediction; ARMA and ARIMA models; trends and seasonal components; detection of abrupt (structural) changes and estimation of change-points; analysis of marginal distributions. The theoretical material will be systematically illustrated by extensive analysis of deregulated electricity markets. In particular, pricing of various put options will be considered. |
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