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Applied Time Series Modeling and Forecasting

Introduction

This is the "Applied Time Series Modeling and Forecasting" course from iOpener Training Group. In today's data-driven world, understanding and effectively utilizing time series data is essential for making informed decisions, predicting future trends, and gaining insights into various phenomena. This course is designed to provide participants with the knowledge and practical skills necessary to analyze time series data, develop predictive models, and generate accurate forecasts for a wide range of applications.

 

Why Time Series Analysis Matters

Time series data consists of observations collected over time, such as daily stock prices, monthly sales figures, or annual GDP growth rates. Analyzing these data requires specialized techniques that account for the temporal dependencies and patterns present in the data. Time series analysis enables us to uncover underlying trends, seasonality, and irregularities, allowing for better understanding and prediction of future behavior.

No prior knowledge of time series analysis is required, but familiarity with basic statistical concepts and programming will be beneficial.

 

Course Objectives

  • Mastering Time Series Concepts.
  • Exploring Time Series Models.
  • Forecasting Techniques.
  • Hands-on Practice.
  • Real-world Applications in fields such as finance, and economics.


Target Audience

  • Data Analyst
  • Financial Analyst
  • Economist
  • Business Analyst
  • Researcher/Academic

 

Course Outline 

Day 1: Introduction to Time Series Analysis

  • Understanding Time Series Data
  • Basic Time Series Concepts: Stationarity, Autocorrelation, Seasonality
  • Time Series Decomposition Techniques
  • Introduction to Time Series Models: AR, MA, ARIMA
  • Hands-on Exercise: Exploratory Data Analysis and Time Series Visualization

 

Day 2: Advanced Time Series Models

  • Seasonal Time Series Models: SARIMA
  • Exponential Smoothing Methods
  • Vector Autoregression (VAR) Models
  • Machine Learning Approaches to Time Series Forecasting
  • Hands-on Exercise: Building and Evaluating Time Series Models in R/Python

 

Day 3: Forecasting Techniques

  • Evaluating Forecast Accuracy: MAE, RMSE, MAPE
  • Forecasting with Exogenous Variables
  • Forecast Combination Techniques
  • Model Selection and Hyperparameter Tuning
  • Hands-on Exercise: Generating and Evaluating Forecasts using Real-world Data

 

Day 4: Time Series Analysis in Finance

  • Financial Time Series: Stock Prices, Exchange Rates, Interest Rates
  • Volatility Modeling: ARCH/GARCH Models
  • High-Frequency Trading and Algorithmic Forecasting
  • Time Series Analysis in Risk Management
  • Hands-on Exercise: Forecasting Financial Time Series using Time Series Models

 

Day 5: Applications of Time Series Analysis

  • Time Series Analysis in Marketing and Sales Forecasting
  • Time Series Analysis in Supply Chain Management
  • Time Series Analysis in Environmental Science
  • Time Series Analysis in Public Health and Epidemiology
  • Capstone Project: Applying Time Series Modeling and Forecasting Techniques to a Real-world Problem