时间序列分析2015_c1.pdf

2015 Spring 鍛ㄥ嚒鍚 缁熻瀛﹂櫌 鍏充簬鍋 涓昏缁忓巻 飩 Office hour 飩 鑷寸煡鍥?34 飩 2012.4-2012.10 Algorithmic 飩 鍛ㄤ簩涓嬪崍4:00-5:00 Trading Research Team, Citi, London 飩 鎴栭偖绠遍绾 飩 2006.10-2011.2 Imperial College 飩 閭 London, London, UK Ph.D. in Financial Statistics zfy@ 飩 2005.9-2006.7 University of 飩 浜轰汉缃 Cambridge, Cambridge, UK MPhil in Statistical Science 飩 2002.9-2005.7 University of Manchester, Manchester, UK Bsc(Hons) Mathematics with Statistics 鍏充簬杩欓棬璇 棰勫鐭ヨ瘑鐨 鈥㈡鐜囪锛岀粺璁″銆 鈥 锛堝皯锝為噺锛夐珮绛夋暟瀛﹀拰璁￠噺缁忔祹瀛 瑕佹眰 鈥㈠伐鍏疯蒋浠讹細Eviews/R 璇惧爞鏁欏褰 鈥㈢煡璇嗙偣璁茶堪 鈥緥棰樼殑璁茶堪鍜屾紨绀 寮 鈥㈣鍫傜粌涔 锛堜笂璇捐甯﹀ソ绾稿拰绗旓級 鐞嗚В鐭 妯′豢渚 缁冧範璇 瀛︿範鐨勬柟娉 璇嗙偣 棰樻€濊矾 鍚庝範棰 鈥㈡璁扮‖鑳屾晥鏋滀笉浣筹紝鑰冭瘯瀹规槗璁版贩銆 鍏充簬杩欓棬璇 飩 瀛︿範瀹岃繖闂ㄨ锛屽悓瀛︿滑灏嗭細 飪樼悊瑙ｅ苟鎺屾彙鏃堕棿搴忓垪鍒嗘瀽鐨勪富瑕佺悊璁猴紝鏂规硶鍙婃€濇兂銆 飪樿兘鐞嗚В鍜屾妸鎻′笉鍚屾椂闂村簭鍒楁ā鍨嬬殑閫傜敤鑼冨洿鍜屾潯浠讹紝 骞惰兘灏卞疄闄呴棶棰樹腑鐨勬椂闂村簭鍒楁暟鎹彁鍑哄悎閫傜殑鏃堕棿搴 鍒楁ā鍨嬨€ 飪樼啛缁冨簲鐢ㄧ粺璁¤蒋浠跺鏃堕棿搴忓垪鏁版嵁杩涜鍒嗘瀽锛屽苟瀵瑰叾 杈撳嚭缁撴灉杩涜鍚堢悊鐨勮В閲婂拰鍒嗘瀽銆 飩 杩欓棬璇剧殑鏁欏涔熷皢璁粌鍚屽浠互涓嬪嚑涓柟闈㈢殑鑳藉姏锛 飪橀€昏緫鎺ㄧ悊鐨勮兘鍔 飪樿В鍐虫柊闂鐨勮兘鍔 飪樹妇涓€鍙嶄笁鐨勮兘鍔涖€ 鍏充簬杩欓棬璇 飩 璇剧▼涓婚〉 /fanyin/course.html 飩 璇剧▼鑰冩牳鏂瑰紡锛 飩?0% 璇剧▼浣滀笟 锛?娆★級 飩?0% 鏈熸湯鑰冭瘯 锛堥棴鍗凤級 飩ゅ叧浜庢妱琚€佷綔寮 飩よ鍫傜偣鍚岤璇惧爞缁冧範闅忔満鐐瑰悕锛岀己甯竴娆℃墸浣 涓氭垚缁╃殑10% 飩ゅ叧浜庤鍋囩己甯細鏈绋嬭妭濂忕揣鍑戯紝涓€鏃︾己甯 寰堥毦鍚噦鍚庣画璇剧▼銆傝璇惧悗鑷瀛︿範璇句欢鍙 鐩稿叧闃呰鏉愭枡锛屽苟鍙婃椂鍚戜换璇捐€佸笀璇㈤棶涓嶆竻 妤氱殑闂銆 鍏充簬鍙傝€冧功鐩 [1]鍙蹭唬鏁忕瓑. 搴旂敤鏃堕棿搴忓垪鍒嗘瀽锛屽寳浜細楂樼瓑鏁欒偛鍑虹増绀撅紝2011 [2]鐜嬬嚂. 搴旂敤鏃堕棿搴忓垪鍒嗘瀽锛屽寳浜細涓浗浜烘皯澶у鍑虹増绀撅紝2005 [3]鐜嬫尟榫欑瓑銆傚簲鐢ㄦ椂闂村簭鍒楀垎鏋愩€傚寳浜細涓浗缁熻鍑虹増绀俱€?010 [4]Shumway, R. and Stoffer, D., Time Series Analysis and Its Applications: With R Examples (2nd Ed.), Sprin