Lecture 23

14 Abril 2023, 09:30 • Nuno Sobreira

Chapter 6 - Seasonality. SARIMA models. Motivation of the extension of ARIMA models to the seasonal framework. Implications of seasonal data to the ARIMA framework. Examples of purely seasonal ARIMA processes and main properties.

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Lecture 22 (given on 21/04)

12 Abril 2023, 09:00 • Nuno Sobreira

Chapter 8 - Volatility time series models. The ARCH model class. Main properties.

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Lecture 21

10 Abril 2023, 08:00 • Nuno Sobreira

Time series cross-validation in R. Introduction to chapter 6 - Seasonality and SARIMA models. Purely seasonal AR, MA and ARMA processes: main properties

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Lecture 20

31 Março 2023, 09:30 • Nuno Sobreira

Chapter 5 - Forecasting with ARIMA models. Simple forecasting methods. Comparing forecast accuracy of different models. Traditional evaluation and cross-validation. Applications in R.

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Lecture 19

29 Março 2023, 08:00 • Nuno Sobreira

Chapter 5 - Forecasting with ARIMA models. Deriving the MSE formulas and the prediction intervals. Forecasting in practice using R. Comparing the forecast accuracy of different models.

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