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ACSC/STAT 418: Time Series Analysis and Forecasting
发布时间:2021-11-28
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ACSC/STAT 418: Time Series Analysis and Forecasting
Term Project Guideline, Fall 2021
Objectives: This term project aims at providing students with an opportunity to apply a collection of methods and tools covered in classes/ labs to a real data. Each student will be working in a group of two students (or individually) on a selected time series of interest.
Examples:
– Monthly treasury yield rate (e.g., 1-year bill, 5-year note, 25-year treasury bonds, etc.)
– Monthly returns of a stock index
– Monthly returns of a commodity index (e.g., crude oil price, gold price, etc.)
– Monthly house price index of a city
– Monthly consumer price index
– Other time series of interest (under instructor’s permission)
Some data sources:
– Economic data from Federal Reserve Board (US): https://fred.stlouisfed.org/
– Treasury yield rates (CA): http://www.bankofcanada.ca/rates/interest-rates/canadian-interest-rates/
– Price indexes (CA): https://www.bankofcanada.ca/rates/price-indexes/
Activities:
– Downloading/examining data sets of interest
– Background reading on the chosen data
– Identification of deterministic time series, if any
– Modeling with stochastic time series such as ARMA models
– Estimation and forecasting
Contents: Each group (or individual) must submit a term project report (maximum 15 pages) including the following contents by December 6, 2018:
– Overview: Goals and/or motivation of the project in the context of actuarial applications
– Summary of main findings
– Data summary/description
– Models and methods
– Results of analysis
– Further discussions
All supporting materials (e.g., figures, tables, references) may be attached in Appendix. There are no restrictions on the font size, line spacing or margins, but please be reasonable.