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Single discipline educational activity
Course Sheet Academic Year of enrolment:
Professor and Collaborators:
Hours of classroom activity:
Prerequisites:
Knowledge of the basic elements of descriptive and inferential statistics
Objectives
Contents The course aims to introduce the main statistical tools to describe, interpret and predict the temporal dynamics of phenomena available in the form of a historical series
The approach is mainly applied, with the aim of introducing the student to the problems and the basic tools for the analysis of economic and financial time series series.
Extended Syllabus Introduction to the analysis of time series
General definitions, graphic representations
The unobservable components of a time series: the trend, the cycle, the seasonal component, the erratic component.
- Classic analysis of historical series
The additive model and the multiplicative model; the determination of the trend: the analytical method and the method of moving averages
Destagionalization of a time series
- Modern analysis of the time series: stochastic processes and ARIMA models
Stochastic processes; realization of stochastic processes and historical time series; stationary and invertible stochastic processes; Wold's theorem; ergodic processes.
The AR, MA and ARMA processes; the functions of global and partial autocorrelation; conditions of stationarity and invertibility; non-stationary processes; the ARIMA and SARIMA processes.
- The Box and Jenkins proceedings
- Forecasting and forecasting with the ARIMA models
The forecasts in general and those deriving from the analysis of phenomena in historical series. Evaluation of forecasts;
Recommended Bibliography course notes
Dispense del Corso
Di Fonzo T., Lisi F. (2005) “Serie storiche economiche” Carrocci editore, Roma.
Teaching Methods lessons e
computer exercises on real case studies
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