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Short Course: Time series forecasting
来源:  点击次数: 次 发布时间:2021-11-11   编辑:统计与数学学院

Course outline

This unit will introduce you to concepts of data analysis using time series forecasting techniques. You will analyse and interpret the patterns in a set of given data, estimate the future observations of data using the trends identified, and use software for statistical analysis and forecasting.

Lecturer

Fotios Petropoulos is Professor of Management Science at the School of Management of the University of Bath. He serves as an Editor for theInternational Journal of Forecastingand asForesight’s Editor for Forecasting Support Systems. He is interested in research on time series forecasting, judgmental approaches for forecasting, statistical and judgmental model selection and integrated business forecasting processes. Fotios’ research so far has focused on the improvement of forecasting processes and more specifically around two streams. First, he has examined how additional information can be extracted from time series data through time transformation (temporal aggregation) and the use of hierarchies. Second, he has investigated interactions between forecasting and management judgment.

Prerequisites

This course is suitable for students who are interesting in predictive analytics and have a strong background in statistics and economics. Also, basic knowledge of programming is necessary, as the practical part of the course will be delivered using the R statistical software.

Register the course

Please scan this QR code to register. Registration is open till Nov 17 24:00.

Schedule and contents

Lecture

Time (Beijing time)

Topic

Nov 20 Saturday15:00-19:00

Module 1: Time series decomposition, simple time series methods, forecast evaluation

1

15:00-15:45

Time series patterns and decomposition

2

16:00-16:45

Simple time series forecasting methods

3

17:00-17:45

Measures for evaluating forecasts

Lab 1

18:00-18:45

Practical demonstration using R

Nov 21 Sunday15:00-19:00

Module 2 : Exponential smoothing

4

15:00-15:45

Forecasting with trend patterns

5

16:00-16:45

Forecasting with seasonal patters

6

17:00-17:45

Automatic exponential smoothing modelling

Lab 2

18:00-18:45

Practical demonstration using R

Nov 27 Saturday15:00-19:00

Module 3:Forecasting withARIMA

7

15:00-15:45

Autoregressive Models

8

16:00-16:45

Moving Average Models

9

17:00-17:45

ARIMA and Seasonal ARIMA models

Lab 3

18:00-18:45

Practical demonstration using R

Nov 28 Sunday15:00-19:00

Module 4: Combination and aggregation (cross-sectional and temporal)

10

15:00-15:45

Forecast Combinations and the Theta method

11

16:00-16:45

Forecasting with aggregation using cross-sectional data

12

17:00-17:45

Forecasting with aggregation using temporal data

Lab 4

18:00-18:45

Practical demonstration using R

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