Lecture 22

3 Maio 2024, 08:00 • Nuno Sobreira

Chapter 6 - SARIMA models. Forecasting seasonal time series: the decomposition approach and the deterministic seasonality approach. Introduction to Chapter 7 - Volatility time series models. Introducing the main stylized facts of Financial Time Series. 

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Lecture 21

29 Abril 2024, 08:00 • Nuno Sobreira

SARIMA models. Applications in R. The airline time series case study detailed.

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Lecture 20

26 Abril 2024, 08:00 • Nuno Sobreira

Chapter 6 - Seasonal ARIMA models. Everything you need to know about SARIMA models from deterministic seasonality approach, pure seasonal models and the multiplicative model.

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Lecture 19

24 Abril 2024, 08:00 • Nuno Sobreira

Chapter 5 - Forecasting with ARIMA models. Traditional evaluation scheme. Time series cross-validation: recursive and rolling window scheme. Applications in R. Introduction to chapter 6 - Seasonality and SARIMA models.

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Lecture 18

22 Abril 2024, 08:00 • Nuno Sobreira

5 - Forecasting with ARIMA models. Obtaining the variance of the forecasting errors from the MA representation. Comparing forecasting accuracy of different methods. The tradidional evaluation scheme. Applications with R.

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