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State University of New York

Practical Time Series Analysis

State University of New York via Coursera

Overview

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Welcome to Practical Time Series Analysis!

Many of us are "accidental" data analysts. We trained in the sciences, business, or engineering and then found ourselves confronted with data for which we have no formal analytic training. This course is designed for people with some technical competencies who would like more than a "cookbook" approach, but who still need to concentrate on the routine sorts of presentation and analysis that deepen the understanding of our professional topics.

In practical Time Series Analysis we look at data sets that represent sequential information, such as stock prices, annual rainfall, sunspot activity, the price of agricultural products, and more. We look at several mathematical models that might be used to describe the processes which generate these types of data. We also look at graphical representations that provide insights into our data. Finally, we also learn how to make forecasts that say intelligent things about what we might expect in the future.

Please take a few minutes to explore the course site. You will find video lectures with supporting written materials as well as quizzes to help emphasize important points. The language for the course is R, a free implementation of the S language. It is a professional environment and fairly easy to learn.

You can discuss material from the course with your fellow learners. Please take a moment to introduce yourself!

Time Series Analysis can take effort to learn- we have tried to present those ideas that are "mission critical" in a way where you understand enough of the math to fell satisfied while also being immediately productive. We hope you enjoy the class!

Syllabus

  • WEEK 1: Basic Statistics
    • During this first week, we show how to download and install R on Windows and the Mac. We review those basics of inferential and descriptive statistics that you'll need during the course.
  • Week 2: Visualizing Time Series, and Beginning to Model Time Series
    • In this week, we begin to explore and visualize time series available as acquired data sets. We also take our first steps on developing the mathematical models needed to analyze time series data.
  • Week 3: Stationarity, MA(q) and AR(p) processes
    • In Week 3, we introduce few important notions in time series analysis: Stationarity, Backward shift operator, Invertibility, and Duality. We begin to explore Autoregressive processes and Yule-Walker equations.
  • Week 4: AR(p) processes, Yule-Walker equations, PACF
    • In this week, partial autocorrelation is introduced. We work more on Yule-Walker equations, and apply what we have learned so far to few real-world datasets.
  • Week 5: Akaike Information Criterion (AIC), Mixed Models, Integrated Models
    • In Week 5, we start working with Akaike Information criterion as a tool to judge our models, introduce mixed models such as ARMA, ARIMA and model few real-world datasets.
  • Week 6: Seasonality, SARIMA, Forecasting
    • In the last week of our course, another model is introduced: SARIMA. We fit SARIMA models to various datasets and start forecasting.

Taught by

Tural Sadigov and William

Reviews

4.5 rating, based on 2 Class Central reviews

4.6 rating at Coursera based on 1649 ratings

Start your review of Practical Time Series Analysis

  • Anonymous
    I would give this 4.5 if I could. Here's how I would rate the class: THE GOOD: 1). Gives a well rounded introduction to the concept of Time Series analysis. Works through the material in a reasonable manner. By the time I was done I felt lik…
  • Profile image for Pere Toledano
    Pere Toledano
    A complete introduction to Time Series, with a very good documentation. If you want make time serie analysis with R this course will be a very good help.

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