STA572: Time Series Analysis and Forecasting

Course Notes — Universiti Teknologi MARA

Welcome to the course notes for STA572/570: Time Series Analysis and Forecasting.

Instructor

Muhammad Asmu’i Bin Abdul Rahim Faculty of Computer and Mathematical Sciences Universiti Teknologi MARA

Course Data

All datasets used in this course are available at: GitHub — Course Data

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Chapters

Chapter	Topic
Chapter 1	Introduction to Time Series
Chapter 2	Univariate Modelling Techniques
Chapter 3	Econometric Modelling
Chapter 4	Stochastic Processes
Chapter 5	Box-Jenkins Methodology

Software

All analysis in this course is performed in R. Install all required packages with:

install.packages(c(
  # Core time series
  "forecast", "fpp2", "TSA", "tseries",
  # Tidyverse-style time series (Chapter 5)
  "fable", "feasts", "tsibble",
  # Data manipulation
  "dplyr", "lubridate",
  # Visualisation
  "ggplot2", "ggpubr", "gridExtra",
  # Regression diagnostics (Chapter 3)
  "lmtest", "car",
  # Table formatting (Chapter 1)
  "kableExtra",
  # Live market data (Chapter 5)
  "quantmod"
))

Package	Used in	Purpose
forecast, fpp2	C1–C5	Forecasting models and plots
TSA	C1	Intervention analysis
tseries	C4, C5	ADF unit-root test
fable, feasts, tsibble	C5	Tidyverse time series modelling
dplyr	C5	Data wrangling
lubridate	C1	Date/time handling
ggplot2, ggpubr, gridExtra	C1–C5	Graphics
lmtest, car	C3	Regression diagnostics
kableExtra	C1	Formatted tables
quantmod	C5	Download S&P 500 data from Yahoo Finance

Note

Source code for all chapters is available on GitHub: github.com/asmuie-analytics