Time Series Modelling and Forecasting

Swayam Prabha Course DTH Channel 16

The forty hours course is for the students in Bachelor's and Master's programmes and covers the topics of Time Series Analysis.

Suggested books:

Box, George E. P., Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung. (2015). Time Series Analysis, Forecasting and Control, Wiley.

Brockwell, P.J. and R.A. Davis, (2009). Time Series: Theory and Methods (Second Edition), Springer-Verlag.

Chatfield, C. (1975). The Analysis of Time Series: Theory and Practice Springer-Verlag.

Cowpertwait, Paul S.P and Andrew V. Metcalfe (2008). Introductory Time Series with R, Springer

Cryer, Jonathan D. Kung-Sik Chan (2008). Time Series Analysis: With Applications in R, Springer Texts in Statistics.

Granger, C.W.J. and M. Hatanka, (1964). Spectral Analysis of Economic Time Series, Princeton Univ. Press, N.J.

Kirchgassner, G. and J. Wolters, (2007). Introduction to Modern Time Series Analysis, Springer.

Montgomery, D.C. and L.A. Johnson (1977). Forecasting and Time Series Analysis, McGraw Hill.

Language of the course: English

Duration of the course: 40 Hours

YouTube link: The telecasted lectures are available at YouTube https://www.youtube.com/playlist?list=PLqMl6r3x6BUSP2fYr2rd3NMRTT4_5uTvV

Slides and Videos used in the lectures: 

Lecture No.  Lecture videos download links          Lecture slides download links                Lecture Title

1               Click here Lecture 1          Click here Lecture 1          Introduction to Time Series

2               Click here Lecture 2           Click here Lecture 2          Matrix Algebra and Regression Model

3               Click here Lecture 3           Click here Lecture 3          Components of time series

4               Click here Lecture 4           Click here Lecture 4          Components of time series

5               Click here Lecture 5           Click here Lecture 5          Components of time series

6               Click here Lecture 6           Click here Lecture 6          Components of time series

7               Click here Lecture 7           Click here Lecture 7          Smoothing and Adaptive Forecasting

8               Click here Lecture 8           Click here Lecture 8          Time series processes

9               Click here Lecture 9           Click here Lecture 9          Time series processes

10             Click here Lecture 10         Click here Lecture 10        Time series processes

11             Click here Lecture 11         Click here Lecture 11        Stationary Processes for Time Series Modelling

12             Click here Lecture 12         Click here Lecture 12        Stationary Processes for Time Series Modelling

13             Click here Lecture 13         Click here Lecture 13        Stationary Processes for Time Series Modelling

14             Click here Lecture 14         Click here Lecture 14        Stationary Processes for Time Series Modelling

15             Click here Lecture 15         Click here Lecture 15        Stationary Processes for Time Series Modelling

16             Click here Lecture 16         Click here Lecture 16        Estimation of Parameters

17             Click here Lecture 17         Click here Lecture 17        Estimation of Parameters

18             Click here Lecture 18         Click here Lecture 18        Frequency Domain Analysis

19             Click here Lecture 19         Click here Lecture 19        Frequency Domain Analysis

20             Click here Lecture 20         Click here Lecture 20        Frequency Domain Analysis

21             Click here Lecture 21         Click here Lecture 21        Frequency Domain Analysis

22             Click here Lecture 22         Click here Lecture 22        Frequency Domain Analysis

23             Click here Lecture 23         Click here Lecture 23        Forecasting with Stationary Processes

24             Click here Lecture 24         Click here Lecture 24        Forecasting with Stationary Processes

25             Click here Lecture 25         Click here Lecture 25        Diagnostics Checking

26             Click here Lecture 26         Click here Lecture 26        Non-Stationary and Long Memory Processes

27             Click here Lecture 27         Click here Lecture 27        Nonstationary and Long Memory Processes

28             Click here Lecture 28         Click here Lecture 28        Nonstationary and Long Memory Processes

29             Click here Lecture 29         Click here Lecture 29        Non-Stationary and Long Memory Processes

30             Click here Lecture 30         Click here Lecture 30        Non-Stationary and Long Memory Processes

31             Click here Lecture 31         Click here Lecture 31        Multivariate Time Series Processes

32             Click here Lecture 32         Click here Lecture 32        Multivariate Time Series Processes

33             Click here Lecture 33         Click here Lecture 33        Multivariate Time Series Processes

34             Click here Lecture 34         Click here Lecture 34        Multivariate Time Series Processes

35             Click here Lecture 35         Click here Lecture 35       Multivariate Time Series Processes

36             Click here Lecture 36         Click here Lecture 36      Multivariate Time Series Processes

37             Click here Lecture 37         Click here Lecture 37        Multivariate Time Series Processes

38             Click here Lecture 38         Click here Lecture 38        Multivariate Time Series Processes

39             Click here Lecture 39         Click here Lecture 39        Stochastic Volatility Models: ARCH, GARCH Processes

40             Click here Lecture 40         Click here Lecture 40        Stochastic Volatility Models: ARCH, GARCH Processes